Quantitative Consultant - Credit Risk/Rating Models - BFSI

JD - Quantitative Consultant - Credit Risk/Rating Models with SAS platform experience

Company :

Job Title : Quantitative Analyst - Credit Risk/Scoring/PD, LDG, EAD Models

Experience : 5-12 years

Location : Onsite or Pune/Bangalore

Education :

Qualification :

- Ph.D./Masters in (Mathematics, Statistics, Financial Engineering, Economics or other Quantitative discipline) with experience in SAS platform

- Job Description seeking a strong Credit risk/Credit rating modelling/validation professional with experience in development, validation, implementation, monitoring and maintenance of Credit risk/ credit rating models for use throughout the wholesale or retail portfolios of Banking Group.

- Good practical experience in Credit Risk Management, PD/LGD calculation, and regulatory capital for Credit Risk. Familiarity with Basel norms on computation of capital for Credit Risky assets across various asset classes and product types.

Responsibilities:

As part of the Credit risk analytics team the candidate will be perform one or more of the following :

- Performing gap analysis of bank's internal MRM processes, policies, documents vis- vis regulatory guidelines

- Review and development/updating of MRM policies and process documents for model development validation, documentation templates and risk rating policy

- Working on resolving validation finding by enhancing/re-developing the model in either retail or wholesale portfolio

- Assist in setting up the modelling database. Key tasks include, preparing dat requirements and dictionaries, convey data understanding, identify and investigate data gaps, perform UAT of the data sourced, support design of data quality reports etc.

- Perform all required tests (e.g., sensitivity, and back-testing). Deliver comprehensive model documentation and perform implementation tests.

- Work closely with cross functional teams, including business stakeholders, model validation and governance teams, and model implementation team.

- Deliver high quality client services, including work products, within expected timeframe and budget.

- Develop and maintain effective relationships with clients and team members.

- Participate in large scale client engagements/projects, meetings, PoC's, RFP's etc.,

Key Skills :

- Experience in executing end-to-end validation/development or model risk management activities of Credit Rating, PD/LGD/EAD models, IFRS 9 and empirical models

- Strong expertise in complete modelling data management including data exploration

- Strong understanding of various retail and/or wholesale portfolios and credit scoring (application and behavioral scorecards)

- Strong understanding of credit risk (IFRS 9) and MRM regulatory regime (SR 11-7)

- Strong Expertise in SAS Enterprise guide and R or Python, SQL, etc.

- Ability to work effectively in cross functional teams, including country/region's business stakeholders, model validation and governance teams, and model implementation team.

- Ability to communicate technical information verbally and in writing to both technical and non-technical audiences.