EY - IRB Model Validation/Development + SAS Role

As a global leader in assurance, tax, transaction and advisory services, we hire and develop the most passionate people in their field to help build a better working world. This starts with a culture that believes in giving you the training, opportunities and creative freedom. At EY, we don't just focus on who you are now, but who you can become. We believe that it's your career and 'It's yours to build' which means potential here is limitless and we'll provide you with motivating and fulfilling experiences throughout your career to help you on the path to becoming your best professional self.

The opportunity:

- IRB Model Validation/Development + SAS - Business Consulting Risk - Bangalore

- Our FSRM team is a fast-moving, high-growth area with huge potential. It offers variety, challenge, responsibility and the opportunity to realize your leadership potential.

- Our Financial Services Risk Management (FSRM) practice focuses on risk management, regulatory, quantitative, and technology backgrounds. The breadth of experiences of FSRM professionals enables the practice to coordinate the delivery of a broad array of risk management services to capital market participants throughout the world in a well-integrated manner.

Your key responsibilities:

- Estimating credit risk imbedded in the retail credit product portfolios and the regulatory and economic capital to allocate against these portfolios.

- Development, documentation and maintenance of the retail IRB models (PD, LGD and EAD) to support quantification and identification of portfolio credit risk across all asset classes using SAS.

- Lead fluency with industry standards and methodologies relating to credit models (PD, LGD and EAD)

- Understanding of the consumption layer of the curated data, ie. Model development for credit risk models, especially AIRB (PD, LGD and EAD models).

- Understanding of variables treatments, exclusions, transformations and data sources

- Understanding of credit risk model constructs and different credit risk modeling frameworks

- Data mining involving large credit risk databases that contain historical and current performance data.

- The candidate needs to have a good knowledge of statistical methods and tools including logistic regression, Bayesian statistics, Markov chain process, time series analysis etc.

- Ability to work directly with client with no handholding

- Ad-hoc data analysis and queries to support questions and process migration

- Excellent communication skills and team player

To qualify for the role, you must have:

- A degree in engineering, Statistics or Econometrics or a related quantitative discipline; M. Stat. preferred

- Knowledge of Credit Risk Models - PD, EAD, and LGD, scorecards, Basel II/III IRB approach for Credit Risk, Logistic and Linear Regression Models

- Strong experience in the credit risk model development and documentation from the scratch

- Advanced knowledge of SAS and advanced SQL

- Experience working with multiple datasets, cleaning of data and performing data analysis.

- Ability to articulate ideas and develop recommendations

- Strong analytical, interpersonal skills and client presentation skills

- Strong verbal and written communication skills, including the ability to document analytical results suitable for audiences of all technical levels

- Experience in working as a part of bigger teams working towards a common goal

Skills and attributes:

In addition to technical competence, what will set you up for success at EY is your ability to:

- Strong analytical, problem solving and critical thinking skills

- Willingness to learn and continuously expand technical and business skills

- Strong communication, presentation and writing skills in Knowledge of additional languages will be considered an asset

- Excellent interpersonal skills and ability to work effectively within a team.

- Project management skills

- Willingness and ability to travel and work abroad for international projects

What we look for:

People with the ability to work in a collaborative manner to provide services across multiple client departments while following the commercial and legal requirements. You will need a practical approach to solving issues and complex problems with the ability to deliver insightful and practical solutions. We look for people who are agile, curious, mindful and able to sustain positive energy, while being adaptable and creative in their approach.

What we offer:

With more than 200,000 clients, 300,000 people globally and 33,000 people in India, EY has become the strongest brand and the most attractive employer in our field, with market-leading growth over the competition. Our people work side-by-side with market-leading entrepreneurs, game- changers, disruptors and visionaries. As an organization, we are investing more time, technology and money, than ever before in skills and learning for our people. At EY, you will have a personalized Career Journey and also the chance to tap into the resources of our career frameworks to better know about your roles, skills and opportunities.

EY is equally committed to being an inclusive employer and we strive to achieve the right balance for our people - enabling us to deliver excellent client service whilst allowing our people to build their career as well as focus on their wellbeing.