Quantitative Risk Management Specialist

1 day ago

Bengaluru, Karnataka, India beBeeCreditRisk Full time ₹ 1,20,00,000 - ₹ 2,40,00,000
Job Overview

The Credit Risk Analyst will be responsible for developing a deep understanding of the model inventory and the risk management framework, including validating CCAR Stress Testing for PPNR, balance sheet, scenario design, and loss forecasting models used for internal risk management and provisioning as well as regulatory submissions.

Key Responsibilities:

  • Develop a deep understanding of the model inventory and the risk management framework
  • Validate CCAR Stress Testing for PPNR, balance sheet, scenario design, and loss forecasting models used for internal risk management and provisioning as well as regulatory submissions
  • Analyze data requirements of the model, assumptions, and methodology, track ongoing model performance, and run stress tests on models based on company-specific or regulatory stressed economic scenarios
  • Provide guidance to model owners for remediation of issues identified during validation to achieve policy adherence
  • Support the model risk management group in meeting their regulatory commitments
  • Interact proactively with various stakeholders, including model owners, to build strong relationships and drive adoption of best practices for model validation, assessment, and documentation
  • Represent the model risk management group in interactions with model owners across lines of business
  • Mentor junior quantitative analysts and conduct training sessions on mathematical modeling, quantitative analytics, and risk management
Requirements
  • Master's degree in Mathematics, Statistics, Economics, or Finance from a Tier I College
  • Experience in a risk management role, with exposure to CCAR modeling in an applied setting
  • Working knowledge in stochastic calculus, linear algebra, differential equations, statistics, simulation, computational methods, and numerical analysis
  • Strong knowledge in mathematical techniques used in VaR computation, risk charge calculations, and tail risk modeling
  • Well-versed in regression modeling and regularization techniques
  • Proficient in R/Python and MS Excel
  • Research mindset, strong analytical and problem-solving skills
  • Strong documentation skills
What We Offer

A dynamic work environment with opportunities for professional growth and development, competitive compensation package, and comprehensive benefits.

We are committed to creating a workplace that is inclusive, respectful, and supportive of all employees. If you are passionate about risk management and want to join a team of dedicated professionals, apply today

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