Risk Analytics Manager

Leading management consultancy firm seeks an experienced and accomplished Risk Management professional with significant experience in risk capital analytics and portfolio stress testing with special focus on Basel parameter quantification & validation, stress testing of loan pools & financial instruments, risk model development & validation and loss forecasting across various asset classes.

Key Responsibilities:

1. Develop thought capital around an integrated macro-economic stress testing framework for global banks which address credit, market, liquidity and operational risk impacts resulting from environmental shocks/ macroeconomic indicators.

2. Be responsible for quantification and validation of Basel parameters, i.e. PDs, LGDs and EADs; correlation between assets, industries; determination of economic and regulatory capital

3. Develop and validate various categories of risk models including credit, market, operational etc.

4. Lead short duration proof of concept for key banking clients including scoping, staffing and engagement setup and execution.

5. Be responsible for delivering on various analytics based consulting assignment as part of one team in a globally distributed staffing mode.

6. Work with deal teams to provide subject matter expertise and brain dump for important client proposals and RFPs.

Experience Required- Must Have

1. 7+ years risk management experience in Financial Services (Bank, Broker/Dealer), Regulatory (Federal Reserve, OCC) or Professional Services / Risk Advisory with significant exposure to Capital Management, Basel II, Stress Testing and Credit Portfolio Management, and related risk management models.

2. Strong understanding of various statistical techniques like, regression including logistic and OLS, montecarlo simulation, classification and forecasting techniques.

3. Proficiency in using various modules of SAS, i.e. Base, Stat, E-miner, Enterprise Guide etc.

4. Experience in extracting, aggregating, structuring large volumes of loan level, instrument level, customer level data for various dimensions like demographic, behavior, loan performance and macroeconomic indicators, sourced from client and third party vendors.

5. Understanding of risk regulatory framework of one more of the major economies across globe (i.e. US, EU etc.)

6. Familiarity with the concepts of credit portfolio management, credit scoring, model development, testing, monitoring & validation.

7. Exposure to working in globally distributed workforce environment including offshore model.

Education:

1. Masters or PhD in one or more of the following quantitative disciplines, i.e. Mathematics, Statistics, Economics, Computing, Quantitative Finance.

Reporting to: Senior Manager, Risk & Banking Analytics

Contact - satyajeet@mounttalent.com