Credit Risk Modeller

6 days ago

Mumbai, India Greenwich Associates Full time

Job Description Sheet Job title Quant Analyst / Senior Quant Analyst Location India (Mumbai/ Bangalore / Pune) Experience 2-6 years Job Duties This role is a critical and challenging role which requires a dynamic, bright and hands-on Quant. The role involves:

- Resolving complex issues in building and validating credit risk models (PD/EAD/LGD) used in the calculation of economic and Basel capital for wholesale portfolios - Managing end-to-end project delivery with onsite / offshore teams - Helping develop newer capabilities and executing trial assignments - Working on risk modeling, risk model validation activities as maybe required - Managing small team/s of quant analysts - Focusing on newer technologies (Big Data) and newer modeling techniques (Machine Learning, Artificial Neural Networks) to ensure models get developed - Ensuring knowledge dissemination internally across other teams and participating in training activities Helping create “thought leadership” by writing papers, articles and contributing to external forum presentations Qualification - Ph.D. or Master in Statistics/ Economics/Mathematics/advanced degree in quant area Required Mandatory Skills - Should have hands-on work-experience as a Quant Modeler and developed/validated credit risk models (PD/LGD/EAD) for financial institutions, especially for wholesale portfolios. - Should have very good domain knowledge of wholesale products like Commercial Real Estate, Commercial and Industrial (C&I), Residential Real Estate Loans etc. - Should have worked on retail portfolios like card, personal loans and developer/validated scorecard models - Should have Strong quantitative and statistical skills (time series analysis, logistic/ linear regression, and segmentation) - Should have solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data - Should have strong Basel, CCAR and DFAST, FRY-14A, SR-11/7 understanding. - Should have hands-on experience of statistical software like SAS and R used for modelling purposes Preferred Skills - Strong client management skills. Should demonstrate very high client focus - Experience of working onsite / offshore in a multi-cultural and global environment - Good at Multi-tasking skills. Ability to quickly assimilate & comprehend information and deliver within strict deadlines - Capable of working in a dynamic & rapidly changing environment. Should have the ability to manage change. This role requires the individual to be flexible and comfortable in dealing with high pressure. Required Soft Skills - Strong communication skills - ability to articulate, present ideas and engage with an international audience - Self-motivated and problem-solving skills

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