Credit Risk Analytics Role - BFSI

Roles & Responsibilities :

- Work with credit risk analytics and stress testing models for delivering various projects viz. PD, LGD, EAD, stress testing, loan life-cycle models - modeling, independent review, gap assessment

- Learn and implement techniques in building and testing various quantitative models

- Understanding of regulatory capital and economic capital modeling for credit risk

- Use tools such as SAS, R, Python, SQL, and Matlab to manipulate data, develop and validate quantitative models

- Deliver end-to-end solution maintaining quick turnaround times and high quality standards

- Participate in brain storming sessions and propose hypothesis, approaches & techniques

- Travel to client locations as and when needed

- Mentor and train junior team members

Qualifications :

- 1-5 years of Relevant risk analytics/quantitative analytics experience

- Deep understanding of retail and wholesale portfolios

- Good knowledge of statistics/ econometrics and exposure to Risk Management in Banking

- Good knowledge of Basel and IFRS 9 Regulations around Credit Risk, and CCAR/ DFAST

- Strong credit risk analytics/ stress testing and model development skills

Skills :

- SAS/SQL, R, Python, VBA, Matlab

- Strong verbal and written communication skills

- Certifications such as CQF, FRM and CFA will be considered a plus

- Experience in Stress test modeling under PRA/ DFAST will be considered a plus

- Hands-on relevant experience in credit risk modeling is a definite preference and a plus