We have an urgent requirement. below are the specifications:
PD/EAD/LGD model Development or Validation
- Candidates should have credit PD modelling experience, preferably in Stress Testing/AIRB/CECL. Experience with Corporate portfolios and Transition Matrix models is a plus.
- Have a good understanding and knowledge of modelling processes and techniques such as OLS, Merton, Vasicek etc.
- Should have hands on experience in R, and proficient in excel
- Sound understanding and knowledge of RWA & ECL requirements
Skills and attributes for success
- Strong experience of statistical modeling in atleast one of the following tools/languages is preferable
- SAS Base/EG/E-miner, R/S-Plus, Matlab, SPSS, Python
- Strong Excel/VBA skills is a must.
- Ability to explain complex frameworks/statistical models to senior management.
What we look for
People with the ability to work in a collaborative way to provide services across multiple client departments while adhering to commercial and legal requirements. You will need a practical approach to solving issues and complex problems with the ability to deliver insightful and practical solutions.
Didn’t find the job appropriate? Report this Job