Credit Risk Modeler

Summary:

The role forms part of the Wholesale Credit Model Development team. The model development team is also part of the Integrated Risk Analytics team.

Job Profile:

- Develop/recalibrate Large Corporates PD, LGD and EAD model.

- Developing PDs and LGDs for Low Default Portfolios such as Insurance, Funds, etc.

- Performing periodic annual validation of the IRB approved models.

- Assist Audit/ERM in performing independent validation.

- Develop ad-hoc solutions/adjustments in Python/SAS for models.

- Closely work with business/SMEs across different portfolios.

Skills and Knowledge:

- Relevant experience of 2+ years.

- The candidate should display a thorough knowledge of credit risk modelling, regulatory guidelines.

- Model implementations using regression methods, simulation models, scorecard-based models.

- Knowledge of quantitative risk management models, statistics and numerical solution methods.

- Hands-on Knowledge of VBA, SAS, MATLAB, Python, etc. will be required.

- A CFA/FRM qualification would be an advantage.