CRISIL - Credit Risk Modelling Role - Wholesale Portfolio

Job Duties:

This role is a critical and challenging role which requires a dynamic, bright and hands-on Quant. The role involves:-

- Resolving complex issues in building and validating credit risk models (PD/EAD/LGD) used in the calculation of economic and Basel capital for wholesale portfolios

- Managing end-to-end project delivery with onsite / offshore teams

- Helping develop newer capabilities and executing trial assignments

- Working on risk modeling, risk model validation activities as maybe required

- Managing small team/s of quant analysts

- Focusing on newer technologies (Big Data) and newer modeling techniques (Machine Learning, Artificial Neural Networks) to ensure models get developed

- Ensuring knowledge dissemination internally across other teams and participating in training activities

Helping create - thought leadership- by writing papers, articles and contributing to external forum presentations

Qualification:

Ph.D. or Master in Statistics/ Economics/Mathematics/advanced degree in quant area

Skills Required :

- Should have hands-on work-experience as a Quant Modeler and developed/validated credit risk models (PD/LGD/EAD) for financial institutions, especially for wholesale portfolios.

- Should have very good domain knowledge of wholesale products like Commercial Real Estate, Commercial and Industrial (C&I), Residential Real Estate Loans etc.

- Should have Strong quantitative and statistical skills (time series analysis, logistic/ linear regression, and segmentation)

- Should have solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data

- Should have strong Basel, CCAR and DFAST, FRY-14A, SR-11/7 understanding.

- Should have hands-on experience of statistical software like SAS and R used for modeling purposes

- Strong verbal and written communication skills and strong interpersonal skills

- Strong client management skills. Should demonstrate very high client focus

- Experience of working onsite / offshore in a multi-cultural and global environment

- Good at Multi-tasking skills. Ability to quickly assimilate & comprehend information and deliver within strict deadlines

- Capable of working in a dynamic & rapidly changing environment. Should have the ability to manage change. This role requires the individual to be flexible and comfortable in dealing with high pressure.