
Senior Credit Risk Modeler
5 days ago
Key Roles and Responsibilities:
The ideal candidate will be responsible for developing, validating, and monitoring credit risk models.
This includes model development, validation, or monitoring experience with GSIBs or Indian Banks required.
- Credit Risk Model Development Steps:
- Exploratory data analysis
- Roll rate
- Vintage analysis
- Good/bad definitions
- Factor selections
- Logistic/linear regressions
- Scorecard calibration
- Credit Risk Model Validation:
- Data preparation and analysis
- Validation tests
- Back testing
- Scenario analysis
- Sensitivity analysis
- Time series analysis
- Economic Capital Computation:
- Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, and credit card guidelines necessary
Required Skills and Qualifications:
- Degree or qualified accountant with regulatory reporting background preferred
- Strong quantitative and analytical skills
- Attention to detail and accuracy
- Power user of Excel spreadsheet and PowerPoint needed
Benefits:
- Acumen and demonstrated knowledge to use visualization tools advantageous
- Investment banking product knowledge and other regulatory development around IBSAS beneficial
We value diversity and strive to provide an inclusive work environment.
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