Crisil - Senior Quant Analyst/Lead Analyst

Job Duties

- Work in the Risk & Analytics division of CRISIL Global Research & Analytics; the candidate will be working on risk modeling assignments including

- Development and validation of credit risk models (PD, LGD, EAD) including IFRS 9

- ICAAP (pillar 2) modeling including economic capital computation

- Analyzing the impact of macroeconomic factors on credit risk parameters to support stress testing/scenario modeling

- Build models across different portfolios (retail, business banking, commercial) for IFRS 9 including impairment/ECL modeling

- Identify, clean and use relevant data to enable model-building

- Work on high-quality model documentation in line with SR 11-7 standards

Educational Qualifications

- Master's degree in economics/econometrics/statistics or any other quantitative discipline

Skills Required

- Four years - experience in credit risk modeling or predictive analytics

- Expertise in statistical programming e.g. SAS, R, VBA, SQL; ability to work on large data sets

- Strong understanding of IFRS 9 impairment requirements and credit risk modeling

- Strong communication skills; excellent model documentation skills

- Strong problem solving skills; ability to work in teams and on unstructured assignments