Credit Risk Modelling

2 days ago

Mumbai, India Eleprof Full time

**Hiring for Big 4 client for Mumbai Location-**
- **Must have skill set**:

- Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks
- Good understanding of:

- Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/ linear regressions including assumptions and limitations, scorecard calibration
- Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis
- Market Risk Model Development or Validation experience covering
- VaR modeling and validation/back-testing (historical full revaluation, Taylor var approximation (delta gamma method), Monte Carlo) for linear instruments and derivative products
- Pricing (linear instruments and Derivatives)
- Curve construction and calibration
- MR Capital computation (Standardised approach/IMA/FRTB)
- Economic Capital computation
- Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines
- Time Series analysis and forecasting
- Knowledge around ML techniques such as Random Forest, Decision Trees, and various other Supervised and Unsupervised Learning algorithms (this is optional)
- Knowledge around regulations by BCBS, US FED, FINMA, PRA, BAFIN, OECD
- Must have techno-functional skills around R, Python, SAS, SQL, VBA (having knowledge of at least one is mandatory)
- Preparation of model documentation, model monitoring plans, model validation reports
- Should be open for travelling
- Should have good communication skills (English)
- Experience can be between 4-9 years

**Salary**: ₹1,700,000.00 - ₹2,300,000.00 per year

Schedule:

- Day shift

Application Question(s):

- Are you ready to relocate to Mumbai?
- Do you have hands-on experience in model development, model validation or model monitoring with a GSIB or Indian banks?
- Do you have knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines?
- How soon can you join?

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