TCS - Credit Risk Modeler

- Experience in a Credit Risk environment.

- Previous experience with statistical modelling techniques and models management

- Worked on developing and validating PD, LGD, EAD models, Scorecards, IFRS9 Models, CCAR models

- Expert and hands-on (using SAS and other statistical tools Python/R/Matlab) in the development and validation of models, data and risk frameworks;

- Proficient in Microsoft Office; knowledge of VBA is a plus;

- Knowledge of programming technique, Credit Risk and Risk Analytics techniques

- Knowledge of credit risk regulatory framework (CRR Self-assessment, CRD IV), in special, legislation linked to Basel Accord (IRB) and to IFRS9.

- Excellent knowledge, experience and understanding of a variety of model development and testing techniques covering risk models, mainly retail credit risk but a plus if also operational and market risks;

- Deep understanding of financial products, stress testing, pricing methodologies, risk management, Basel and regulatory requirements.

- Familiarity with Internal Capital Adequacy Assessment Process (ICAAP), Pillar 1, Pillar 2A, Pillar 2B capital requirements, RWA, stress testing.