Statistical Modelling Role - Credit Risk/CCAR - Bank/Consulting Firm Jobs in Bangalore,India - 24759529

Job Description:

Designation Exec/ Senior/Asst Manager/Manager

Dept Statistical & Quantitative Modeling team

Location Bangalore

Education / professional qualifications

- Advanced degree in Math, Statistics, Economics or any other Analytical disciplines from IIT/ISI OR any other tier1 institute or BTech + MBA in finance

- Professional Certification such as FRM, CFA preferred

Job Summary

Work with clients in the US, UK, Australian and South-East Asian market to assist them in credit and market risk engagements pertaining to model development/validation, credit policy review, credit origination process review

Key engagement responsibilities would be

- Model development of one or more of CCAR /DFAST/ IFRS 9 modelling and PPNR including Stress Testing, Balance Sheet forecasting, Deposit Modelling /PD/EAD/LGD, Loss Forecasting, Underwriting scorecard, Credit Scoring and other behavioral models

- Model validation including conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the models predictive power and its robustness uncertainty through the development and use of alternative benchmark models

- Responsible for key deliverable and engage with Partners/Directors to understand the project scope, business requirements and work with onshore and offshore teams to do successful delivery

Relevant Experience required

- Advanced statistical and quantitative modelling skills (linear regression, logistic regression, ARIMA modelling, Markov Chain, Merton Model, CHAID and other data mining/predictive modelling skills)

- Experience in validation of pricing models across various classes viz, Equities, Credit, IR, FX, Commodities etc

- Strong understanding of regulations and guidelines like IAS 39, IFRS9, SR 11-7 or other equivalent guidelines for model risk management

- Excellence in probability theory, stochastic processes, partial differential equations, numerical analysis, option pricing theory (quant models for pricing and hedging derivatives)

- Sound knowledge of various simulation techniques like Monte Carlo Simulation etc

Programming skills

- SAS, R, Python Expertise is one of these programming language is a must

- Programming ability in C++ is preferred

Prior Experience

- Prior experience of working in the Risk Management/Analytics division in large banks and/or tier 1 consulting organizations like Big 4 or captives of top tier banks is preferred

Salary Package As per market & industry standard

Zahid
+91 22 40960194

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