Analyst/Associate - Credit Risk Model Development - Investment Bank

Discipline: Banking

Subsector: Analytics

Location: Delhi NCR

About our Client: Our client is a leading corporate and investment bank with rapid expansion of their operations in Indian market. As a part of migration of value added work from the US, UK, Europe and financial centres in APAC, they are looking for an experienced professional to setup their Wholesale Banking Credit Risk analytics team from scratch.

Job Description : Reporting into the team lead, your key responsibilities shall be:

- Development & maintenance of models of Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) and correlations for the Wholesale Banking portfolio

- Develop model code and support model testing prior to deployment in the group's strategic risk model system.

- Perform statistical regression analysis in designing, estimating and monitoring model performance.

- Submitting and presenting model annual review and implementation proposals to divisional and group wholesale credit model committees for approval.

- Ensuring that the review, validation, recalibration and implementation of each model is completed in accordance with the team's detailed work plan.

- Ensuring that all model related work meets regulatory requirements and internal policy standards.

- Managing relationship with business heads and other stakeholders across investment banking, wholesale and retail bank to support them in statistical and risk modeling

- Research and develop new model and enhancements of existing model suites to improve accuracy, timeliness, forward looking capability and responsiveness to economic environment

- Work closely with business and product management to provide value adding risk analytics solutions for the enhancement of risk-return tradeoff

- Review, monitor and back test credit risk models performance

The Successful Candidate:

- Bachelors/Masters/Ph.D. in Economics, Statistics, Financial Engineering with at least 4 years of relevant experience of designing, developing, enhancing, and implementing credit risk models/analytics

- Extensive knowledge of credit risk modelling across investment banking or wholesale banking is a must along with excellent knowledge of SAS

- Hands-on experience in all stages of model development (development, validation, tracking, monitoring, implementation) of credit risk models for corporate/commercial/wholesale/investment banking is a must

What's on Offer: An opportunity to be a part of a growing setup in an established MNC based in Delhi NCR. Excellent employee friendly work culture and global exposure along with high level of Independence in your work

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