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15/10 Shantanu
Recruiter at Black Turtle

Views:1442 Applications:32 Rec. Actions:Recruiter Actions:12

Wholesale Credit Risk Modeling Quant Role (5-8 yrs)

Bangalore/Mumbai Job Code: 754000

Key Accountabilities-

- To work as part of the IMR function in the delivery of Model appraisals;

- Responsible for model review on wholesale credit areas like C&I (Commercial and Industrial), CRE (Commercial Real Estate) Portfolios etc.

- Independently review the models being assigned, fully understand the model theory and model assumption, and verify the formula derivation;

- Develop independent models to validate the model implementation correctness and identify the model shortcoming, assumptions, limitations;

- Communicate the model review findings to model developer and owners. Ensure model limitations are correctly identified, understood, and managed;

- Write high quality model appraisal reports, including conclusion, recommendation, detail analysis in model theory, formula, and testing;

- Participate in model control, governance, and monitoring. Assist in reporting requirements, producing detailed updates for Model Oversight Committees, Senior Internal Stakeholder Groups and Regulators;

- Mentor less experienced analysts and provide expertise and technical support across multiple projects;

- Work with Senior Managers across IMR to build relationships with Model Developers / Owners.

Skills/ Experience Required

- Master's degree in Mathematics/Statistics/Finance/Economics/Computer Science/Engineering, or other quantitative fields. Bachelor's degree from top schools in the above area with exceptional academic records and strong knowledge in financial modeling may also apply;

- At least 2+ years of experience in the financial/banking industry;

- Must have 2+ years of proven experience of financial modeling experience in validation/development in Risk Management in Wholesale domain

- Good knowledge of regulatory regulations like Basel, CCAR/DFAST, PRA.

- Knowledge of programming skills in one or more of R, SAS, SQL;

- Experience of conducting independent model reviews is a plus;

- Fluency in English both spoken and written

Women-friendly workplace:

Maternity and Paternity Benefits

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