Solytics Partners - Quantitative Consultant - Credit Risk/PD/LDG/EAD Models

JD Quantitative Consultant - Credit Risk/PD, LDG, EAD ModelsQuant with R/Python Programming

Company Profile:

Solytics Partners provides Consulting and Solutions to Banking, Capital Markets, Asset Management, and Insurance firms.

We leverage combination of deep domain knowledge, advanced analytics and technology to provide accelerated and efficient services and next generation solutions. Our team of senior consultants comes with significant global experience in key markets and advanced degrees in STEM. Our regulatory compliant solutions and services enable leading financial institutions and corporations to create and sustain competitive advantage

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

Experience - 4+ years

Location - India

Education:

Qualification:

- Ph.D./Mastersin (Mathematics, Statistics, Financial Engineering, Economicsor other Quantitative discipline).

- Role Type Permanent or Contract

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

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

Responsibilities :

- Key responsibilities include helping the bank with various aspects of the model risk management (first line or second line) and regulations.

- The candidate would be working on Credit Rating, CCAR, CECL/IFRS9,CCAR/DFAST, Basel related projects Credit risk portfolios.

- Develop or validate credit rating, PPNR, PD, EAD and LGD models compliant to global regulatory requirements (i.e., Basel, IFRS 9) as well as satisfying business needs, complying to internal model development andvalidation standards.

- The scope to include portfolios various wholesale and retails portfolios

- Interact with model governance team on model build and model monitoring.

- 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, PoCs, RFPs etc.,

Key Skills :

- Minimum 3+ year experience in executing end-to-end validation/development of Credit Rating PPNR/CCAR or PD/LGD/EAD models

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

- 4+ years experience in performing quantitative analysis, statistical modeling,

- ML modelling, loss forecasting, loan loss reserve modeling, and econometric modeling for various wholesale and retail portfolios.

- Prior experience of Credit risk/rating model development/validation procedures and concepts and ability to manage own assignment independently.

- Strong understanding of various banking retails and wholesale portfolios

- Ability to work effectively in cross functional teams, including country/regions 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.

- Experience in developing/validating methodology for quantitative analysis.

- Strong expertise in R, Python, SAS, Excel-VBA, SQL etc.,