Analyst - Credit Risk

4 hours ago


Bengaluru, Karnataka, India BSR & Co Full time ₹ 12,00,000 - ₹ 36,00,000 per year
Description

Should have prior experience in model development, model validation or model monitoring with GSIBs 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
• Time Series analysis and forecasting
• Economic Capital computation
• Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, Scorecard, Wholesale & Retail Portfolio, credit card, CRD, CRR guidelines.
• Regulatory Guideline - PRA, EBA, FED, HKMA

Responsibilities

Should have prior experience in model development, model validation or model monitoring with GSIBs 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
• Time Series analysis and forecasting
• Economic Capital computation
• Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, Scorecard, Wholesale & Retail Portfolio, credit card, CRD, CRR guidelines.
• Regulatory Guideline - PRA, EBA, FED, HKMA

Qualifications

Strong quantitative and analytical skills with attention to detail and accuracy
• A power user of Excel spreadsheet and PowerPoint. Acumen and demonstrated knowledge to use visualization tools (i.e., Power BI) will be advantageous
• Investment banking product knowledge and other regulatory development around IB
• SAS, Python, R
• CA/MBA(Finance)/ M.SC (stats)
• Certifications in CFA/ FRM



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