Solytics Partners - Professional - Underwriting Risk Quant

Underwriting Risk Quant

Solytics is seeking a strong Credit Risk Underwriting Quant professional to be a member of the Model Risk Management (MRM) team focusing on the developing, reviewing, validation, and risk assessment of models. Candidate must have relevant experience in statistical modeling, quantitative research, and credit risk underwriting models or related field.

Responsibilities:

- Conducting model development and independent reviews/validation of the newly developed Credit Risk/Underwriting and changes to existing models

- Development of underwriting credit risk models using statistical/ML techniques

- Conduct necessary assessments to challenge the model effectively and build challenger models

- Write model risk management technical documents (validation report, development and monitoring report) that will be presented to client's stakeholders and respective regulators.

- Provide subject matter expertise and support business

- 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:

- Minimum 4 years of Financial services experience in credit risk underwriting modelling/validation

- Knowledge of PD/LGD/EAD models to estimate Credit Loss for Cards Portfolio

- Previous experience of working on credit risk models compliant to global regulatory requirements (i.e., Basel, IFRS 9) as well as satisfying business needs, complying to internal model development and validation standards.

- Experience in the design and implementation of credit risk model related frameworks (model lifecycle management, development, validation, implementation)

- Hands-on experience on simulations, stability of model outcomes, benchmarking, stress testing, scenario and sensitivity analysis.

- Strong data management and programming (Python, R, SQL) skills

- Good knowledge of Numeric, Murex, Bloomberg, etc.,

- Ability to work independently.

- Strong communication and presentation skills and SR 11-7 compliant model documentation skills