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Senior Recruiter at Techsist
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Executive/Senior Executive/Assistant Manager - Credit Risk Model Validation - Big4 (1-8 yrs)
We are a leading consulting firm having opening with one of our Big4 Client for Bangalore location.
Position : Credit Risk Model Validation
Location : Bangalore
We are recruiting for Exec/Senior/AM in the statistical & quantitative modeling team. Your responsibilities will include :
- Work with our clients primarily in the US market to assist them in credit risk engagements pertaining to model development/validation.
Key engagement responsibilities would be :
- Model development/validation/audit/review primarily for one or more credit loss forecasting models in either retail or wholesale domain primarily for CECL/CCAR/DFAST reporting including PD/EAD/LGD component models.
- Validation process involves understanding of development document, testing and benchmarking using SAS, R or Python and report writing.
- Assist with other model development/validation activities in Underwriting scorecard, Credit Scoring, behavioral models, economic scenario models or automation activities related to validation when required
- Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model's predictive power and its robustness uncertainty through the development and use of alternative benchmark models.
Preferred Skills :
- Programming skills : SAS (primary, minimum requirement), Python (secondary) and R (tertiary).
- Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)
- Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15-18/CCAR/DFAST/CECL
Note : Must have exposure in SAS.
Open for Closed Lab Environment:
Neeladri Raj Lakshmi
This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.
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