Executive/Senior Executive/Assistant Manager - Credit Risk/Market Risk - Model Development

Location-Bangalore

Role Purpose

Skills- Retail Credit risk,Market Risk,Climate Modelling, SAS, Python, PD LGD Model Development

Roles and Responsibilities

Designation Assistant Manager

Senior Reporting to Manager

Role type

Individual contributor/Supervisory

Employment type Full-time or fixed-term staff

We are recruiting for Assistant Manager Senior in the Statistical & quantitative Modeling team. Your responsibilities will include:

- Work with our clients in the US, UK, Australian and South-East Asian market to assist them in credit and market risk engagements pertaining to model development/validation, credit policy review, credit origination process review.

- Key engagement responsibilities would be:

- Advanced degree in mathematics, statistics, econometrics, financial engineering or computer science;

- At minimum 3-5 year of quantitative modeling aptitude/experience with a large global financial institution or consulting firm;

- Previous professional experience developing or validating statistical models used for CECL,CCAR/DFAST capital stress testing (Pre-Provision Net Revenue models, operational risk models), retail and wholesale credit loss projections (PD, LGD, EAD), Anti-Money Laundering (AML), market risk models (Value at Risk models, interest rate risk models, counterparty credit exposure models) etc.;

- Strong conceptual and technical knowledge of risk concepts and quantitative modelling techniques i.e. logistic regression, linear/nonlinear regression, time series, machine learning or similar technique;

- Proven track record in the development of extensive (80-100 page-plus) model development technical documentation for consumption by internal validation group and regulatory entities; very strong technical writing skills is a must;

- Demonstrated knowledge of database management and manipulation including knowledge of SQL;

- Advanced programming skills in at least one supported statistical programming environment (SAS, R or Python) with intermediate programming skills in at least two;

- Proactively work with AM and Managers for key deliverables in line with Project requirement

- Model development of one or more of CCAR/DFAST/ IFRS 9 modelling and PPNR including Stress Testing, Balance Sheet forecasting, Deposit Modelling/PD/EAD/LGD, Loss Forecasting, Underwriting scorecard, Credit Scoring and other behavioural models

Job Requirements :

Mandatory Skills :

Qualifications: Advanced degree in Math,Statistics, Economics or anyother Analytical disciplines from IIT/ISI OR any other tier 1institute or B.Ttech. + MBA infinance.

Additional certifications: ProfessionalCertification such as FRM, CFApreferred

Total Experience: Prior experience of 6-83-5yearsworking in the RiskManagement/Analytics division in large banksand/or tier 1 consulting organizations like Big 4 orcaptives of top tier banks is preferred

Candidate should be flexible to work on diverse/multiple assignments depending on business requirement

Preferred Skills :

- Personal drive and positive work ethic to deliver results within tight deadlines and in demanding situations without compromising on quality, and ethical standards and values

- Excellent written and verbal communication skills

- Team player

- Self-driven

- Ability to work independently and motivate team members