Vice President/AVP/Analyst/Associate - CCAR/IFRS9 Modelling - Investment Bank

2 - 12 Years

Mumbai

Posted 6 years ago

#CCAR #IFRS #Credit Risk #Python #Risk Modeling #Probability of Default #Loss Given Default #Exposure At Default #Basel #Risk Management

We are hiring for one of the leading investment bank Mumbai for the below mentioned requirement:-

Quant Research

Wholesale Credit Modelling

Analyst/Associate/VP

Statistics:

Requirement:

- Solid theoretical and practical knowledge of probability methods and usual models: generalized linear models, time-series analysis, panel data-

- Background and experience Credit Risk Model Development/Validation i.e PD/LGD/EAD-

- Hands-on programming in one or more of the following: R, Python/pandas.

Good to have:

- Experience in dealing with sizeable data sets (parallel processing, code optimisation) revious experience in writing documents for regulators.

- Basic knowledge of the Basel III regulatory capital framework (credit RWA).

- Credit risk experience in either wholesale or retail.

- Basic knowledge of common structured products (ABS, CLO).

- Familiarity with classification problems applied to credit risk.

Programming: C++/Python/R

Qualification:

- PhD or M.Sc in the quantitative field: econometric, mathematics, physics, engineering.