Job Role: Credit Risk Model Development - Consultant/AM/Manager
Salary: 15 LPA - 30 LPA
Qualification: MBA, B.tech/BE/ MSc
Mandatory Skills: Credit Risk Model Validation
Job Description
Credit Risk Model Development – Consultant/AM/Manager | Big-4
Responsibilities:-
• 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