Credit Risk Model Development – Consultant/AM/Manager | Big-4

Location: Mumbai
Job Type: Permanent
Years of Experience: 3-8 Years
Industry: Strategy / Management Consulting Firms
Functional Area: Other

Job Role: Credit Risk Model Development - Consultant/AM/Manager

Salary: 15 LPA - 30 LPA

Qualification: MBA, MSc

Mandatory Skills: Credit Risk Model Validation

Job Description

Credit Risk Model Development – Consultant/AM/Manager | Big-4
• Should have prior experience in model development, model validation or model monitoring with a GSIB or Indian banks
• Good understanding of:
o 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
o Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis
o 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
o Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, TRIM, CRD, CRR guidelines
o Time Series analysis and forecasting
o Knowledge around ML techniques such as Random Forest, Decision Trees, and various other Supervised and Unsupervised Learning algorithms (this is optional)
o 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

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