09/07 Anjali
Associate at Aurion Solutions

Views:231 Applications:112 Rec. Actions:Recruiter Actions:5

IFRSP/IRB Model Developer Role - Investment Bank (2-8 yrs)

Bangalore Job Code: 832765

Ideal candidate should be well versed in credit risk model development, validation and maintenance of models (PD, LGD and EAD) for wholesale and retail credit portfolio of the bank as per regulatory guidelines.

Exposure to banking book and understanding of trading book products and knowledge on BASEL/IFRS guidelines is highly desirable. Candidate should have excellent business communication skills.

Candidates with Post-graduation degree in a quantitative discipline (Statistics, Economics, Mathematics & engineering) from Tier I/II colleges. Additional certification in machine learning techniques or estimation of credit risk parameters will be preferred.

Technical Requirements :

Experience into Credit Risk Analytics with hands on experience in SAS/R/VBA along with SQL, Statistical techniques (Types of Regressions, PCA, Markov chain, Transition matrix- etc), Optimization Technique(Linear programing, Convex optimization).

Profile :

- Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Economics, or Finance, or a track record of performance that demonstrates this ability.

- Background in a quantitative role within risk management (credit), finance and/or project management in a financial institution

- Excellent knowledge and understanding of a wide variety of model development and validation statistical techniques covering primarily credit and market risk.

- Significant experience in either model development or in model validation, hands-on experience in model development, model specification, model selection, model testing and validation

- Knowledge of computing and scripting languages

- Able to produce high quality written communication including reviews of models, risk policies, and presentations for technical and non-technical audiences

- Familiarity with regulatory requirements (basel framework, IFRS 9- ), including governance and documentation standards.

- Leadership and management experience

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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