Manager/AVP - Credit Risk Modeling - PD/LGD/EAD - Investment Bank

Job Location: Mumbai

Designation: Manager / AVP

About our Client: A leading, global investment bank with an illustrious range of financial and asset management services serving different market regions across the globe.

About the opportunity

An exciting opportunity for a risk model developer aspirant to work with one of the world's leading banks with global clientele of private banking, asset management & investment banking. The role requires a sharp modeler with hands-on experience in Credit Risk Analytics willing to work in the financial capital of India.

Being a part of their Credit Risk Analytics team, you would be responsible for:

1. Working on multiple projects across geographies & reviewing RWA calculations for Credit Risk for Wholesale/Commercial and Retail Exposures in accordance with relevant regulatory requirements & frameworks

2. Providing solutions in BASEL II A-IRB and IFRS9 Credit Risk parameter (PD, LGD, CCF modeling) estimation

3. Leading multiple projects and have extensive experience in Model Development, Validation, and Calibration, LDP Modeling, Scorecard Development, Economic capital modeling, BASEL III /CCAR norms.

4. Developing Credit portfolio models, performing stress testing for Corporate Portfolio & computing risk using Monte Carlo methodologies/backtesting

5. Extensive tactical data analysis and model development for client engagements using a variety of programming languages

6. Serving as subject matter authority on financial and statistical markets model development and validation expertise

Desired Candidate profile

1. A seasoned risk management professional with the advanced degree in finance, mathematics, econometrics, engineering or other quantitative subjects with over 812 years of experience in Credit Risk Analytics & Model development.

2. Strong knowledge of regulatory requirements such as SR 11-7, Basel III and CCAR guidelines with experience in various model validation tests like sample backtesting, sensitivity analysis (Macroeconomic scenario-based stress testing), contribution analysis etc.

3. Hands on experience in Analytics, PD/LGD/EAD Modelling, Credit Risk, Model Validation, Regulatory Reporting, RWA Calculation, CCAR, VAR.

4. Knowledge and exposure in various financial products like Credit derivatives, OTC products, Swaps, Securitization, CDO's etc.

5. Good experience in any programming languages/databases such as R/Python,Java, VBA, Matlab, or Ms. Access, SQL, Oracle etc.

6. Prior experience in domains like commercial banking, retail banking, treasury, investment management and strong knowledge of risk data analysis and development, strategy design and delivery deployment.

7. Having an exceptional track record in project delivery, stakeholder management, and thought leadership, with strong quantitative and analytical background