Senior Executive/Assistant Manager - Statistical Modeling - Financial Services

Hiring for Statistical Modeling role with a reputed accounting firm!!!

Dept: Statistical & Quantitative Modeling team

Location: Bangalore

Education / professional qualifications:

- Advanced degree in Math, Statistics, Economics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or B.Tech + MBA in finance.

- Professional Certification such as FRM, CFA preferred

Job Summary:

Work with 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:

- 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 behavioral models

- Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model's predictive power and its robustness uncertainty through the development and use of alternative benchmark models.

- Responsible for key deliverables and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery

Relevant Experience required:

- Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)

- Experience in validation of pricing models across various classes viz., Equities, Credit, IR, FX, Commodities etc.

- Strong understanding of regulations and guidelines like IAS 39, IFRS9, SR 11-7 or other equivalent guidelines for model risk management.

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives).

- Sound knowledge of various simulation techniques like Monte Carlo Simulation etc.

Programming skills:

- SAS, R, Python. Expertise is one of these programming language is a must.

- Programming ability in C++ is preferred.

Prior Experience : 

- Prior experience of working in the Risk Management/Analytics division in large banks and/or tier 1 consulting organizations like Big 4 or captives of top tier banks is preferred

Interested candidates may apply at the earliest!!!