Risk Model Development & Implementation Role - BFS/KPO

Risk Model Development & Implementation ll Mumbai

We have an opportunity for a Quantitative Modeling role.

Location : Mumbai

Shift : EMEA

Roles and Responsibilities :

- Risk model evolution, credit capital assessment and effective risk management.

- Develop statistical/economic models across wholesale credit portfolios and regulatory exercises to advance the model methodology

- Participate in all aspects of quantitative activities ranging from model research and prototyping to business support

- Implement models within the firms analytical libraries, explain forecasts to senior management and partner stakeholders

- Analyze model outputs through big data platform and web based reporting tools; build bespoke risk analytics tools and explain variance

- Actively involve in complete model lifecycle i.e. development, validation, implementation and ongoing monitoring

- Develop and implement state of the art risk models for the firms Wholesale Credit Stress and Loan loss reserves (CCAR, Basel, CECL, and IFRS9).

- Core areas include development, prototyping and implementation of models for probability of default (PD), loss given default (LGD), exposure at default (EAD) and related stress testing measures.

- Develops analytic tools for integrated back-testing and performs analysis of model outputs through big data platform and web based reporting tools.

Desired Candidate Profile :

- Desirables PhD/Masters or Bachelors Degree in a quantitative discipline such as Statistics, Computer Science, Econometrics, Engineering, Physics etc.

- 4-7 years of relevant modelling experience or development experience as a data scientist

- Good knowledge of financial instruments and financial risk management principles is preferred.

- Prior experience in writing model documents is strongly preferred but not mandatory

- Strong knowledge of statistical methods and models: time-series analysis, Generalized Linear models, clustering, predictive analytics and descriptive statistics etc.

- You are experienced in handling large amount of panel data, and data cleaning/filtering

- You demonstrate proficiency in programming skills and are experienced in model development using either Python or R

- You are experienced with quantitative modeling in the wholesale area for regulatory exercises (e.g. CCAR or Basel)