Risk Analyst - IIT/IIM

MANDATORY IIT/IIM

- Work in the quantitative modeling team

- The candidate will be working on risk modeling assignments

- The candidate would be working on Basel II/III’s pillar 1 and pillar 2 related projects

- The candidate would work on credit and market risk estimation techniques (pillar 1) and ICAAP (pillar 2), OCC guidelines on model risk/validation

- The candidate would be required to work on development and model validation of risk models – PD,LGD, EAD, VaR (market, credit)

- Stress testing – PPNR forecasting, econometric modeling

- May be required to travel abroad given the requirement of the role

Essentials:

- Experience in SAS / R – for modeling risk

- Strong understanding of statistical concepts/ time series modeling

- Strong in Excel, VBA; C++/Java experience would be a plus

- Deep understanding of risk concepts and regulations

Soumya Venugopal