Job Description & Summary:
• Bachelor's or Master's degree in finance, economics, mathematics, or a related field
• 4+ years of relevant experience in credit risk management, with knowledge of PD/LGD/EAD, CCAR
loss estimation & PPNR, PRA stress testing, Scenario analysis, IRB, IFRS 9, CCEL, credit rating
models, and other credit risk models
• Advanced statistical and quantitative modelling skills: Linear regression, logistic regression,
ARIMA modelling, Markov Chain, Merton Model, and other data mining/predictive modelling
skills
• Strong programming skills in Python, R, SAS, Excel VBA, and other programming languages
• Good soft skills, including effective communication, team collaboration, and client engagement
• Strong project management skills
• FRM, CFA, CQF would be a plus
Job Position Title: Senior Associate _ Credit Risk Quant _ Financial
Services Risk_Advisory_Mumbai Shivaji Park
Responsibilities:
• Expert in the Model development primarily for
PD/LGD/EAD, CCAR loss estimation & PPNR, PRA stress
testing, Scenario analysis, IRB, IFRS 9, CCEL, credit rating
models, and other credit risk models for retail,
commercial or wholesale domain as per regulatory
guidelines such as Capital Requirement Regulation (CRR)
/ Capital Regulation Directive (CRD) IV/ IFRS9 and BASEL
• Expert in the Model validation process involves
understanding of model validation/ Risk Management
guidelines such as SR 11/7 and SS 3/18, model
development document, testing, and benchmarking and
report writing
• Sound knowledge of current market trends and the
regulatory agenda related to credit risk models
particularly from a UK/US/European context
• Ability to independently review model documentations,
undertake appropriate qualitative & quantitative analysis
and author high quality analytical documentation
• Assist clients in developing and implementing credit risk
models, providing advice and guidance as needed
• Prepare and deliver presentations to clients on credit risk
topics
• Manage projects and ensure deliverables are completed
on time and within budget
• Good written and verbal communication and
presentation skills and ability to build report with the
stakeholders to suggest the solution and communicate
the impacts
Mandatory skill sets: Credit Risk Quant
Preferred skill sets: Model Development / Validation
Years of experience required: 4 to 7 Years
Education qualification: MBA/CARole & responsibilities
Preferred candidate profile