Credit Risk Role - Model Development/Validation - Big4

Your responsibilities will include:

- Work with the clients in the US, UK, Australian and South-East Asian market to assist them in credit and market risk engagements pertaining to model development/validation, credit policy review, credit origination process review.

Key engagement responsibilities would be :

- Experience in IRB/IFRS9 is mandatory

- Key engagement responsibilities would be:

- Advanced degree in mathematics, statistics, econometrics, financial engineering or computer science;

- At minimum 1-3 year (Executive), 3-5 years (Senior) and 5-8 years (AM)of quantitative modeling aptitude/experience with a large global financial institution or consulting firm;

- Previous professional experience developing or validating statistical models used for CECL, CCAR/DFAST capital stress testing (Pre-Provision Net Revenue models, operational risk models), retail and wholesale credit loss projections (PD, LGD, EAD), Anti-Money Laundering (AML), market risk models (Value at Risk models, interest rate risk models, counterparty credit exposure models) etc.;

- Strong conceptual and technical knowledge of risk concepts and quantitative modelling techniques i.e. logistic regression, linear/nonlinear regression, time series, machine learning or similar technique;

- Proven track record in the development of extensive (80-100 page-plus) model development technical documentation for consumption by internal validation group and regulatory entities; very strong technical writing skills is a must;

- Demonstrated knowledge of database management and manipulation including knowledge of SQL;

- Advanced programming skills in at least one supported statistical programming environment (SAS, R or Python) with intermediate programming skills in at least two;

Avanika Singh Chauhan