Crisil - Senior Quantitative Analyst - Risk & Analytics Division

Job Duties :

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

- Develop monitoring framework for credit risk models

- Monitoring and back-testing of credit risk models (PD, LGD, EAD)

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

- Build models across different portfolios (retail, business banking, commercial)

- Identify, clean and use relevant data to enable modelling exercise

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

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

Skills Required :

- Four years experience in credit risk modelling or predictive analytics

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

- Strong understanding of model monitoring and validation for credit risk modelling

- Strong communication skills; excellent model documentation skills

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