Senior Credit Risk Modeler - Investment Bank

Job Description :

- Seek to identify and define product-specific risk characteristics (trading book assets, retail and wholesale loans, OTC derivatives, etc.).

- Mathematical design, calibration, prototyping and production implementation of credit portfolio models.

- Statistical analysis of internal and external data covering a wide range of credit risk types, including retail and wholesale lending, counterparty and traded credit risk.

- Interacting regularly with a wide range of business partners across the Bank, particularly from Market, Credit and Enterprise Risk Management, Front Office, Model Risk Management, Reporting, IT and Regulatory Coordination.

- Working closely with the CERC teams in Zurich and IRC teams in Mumbai/Zurich on methodology development work. Work with Risk IT who implements the methodology.

- Model documentation.