Analyst - Credit Risk

Description

Should have prior experience in model development, model validation or model monitoring with GSIBs or Indian Banks. • Good understanding of Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/ linear regressions including assumptions and limitations, scorecard calibration • Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis • Time Series analysis and forecasting • Economic Capital computation • Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, Scorecard, Wholesale & Retail Portfolio, credit card, CRD, CRR guidelines. • Regulatory Guideline - PRA, EBA, FED, HKMA

Responsibilities

Should have prior experience in model development, model validation or model monitoring with GSIBs or Indian Banks. • Good understanding of Credit Risk Model Development steps starting with exploratory data analysis, roll rate, vintage analysis, good/bad definitions, factor selections, logistic/ linear regressions including assumptions and limitations, scorecard calibration • Credit Risk Model Validation starting from data preparation and analysis, validation tests, back testing, scenario analysis, sensitivity analysis • Time Series analysis and forecasting • Economic Capital computation • Sound knowledge of IRB, IFRS 9, CECL, CCAR, SR-11-7, Scorecard, Wholesale & Retail Portfolio, credit card, CRD, CRR guidelines. • Regulatory Guideline - PRA, EBA, FED, HKMA

Qualifications

Strong quantitative and analytical skills with attention to detail and accuracy • A power user of Excel spreadsheet and PowerPoint. Acumen and demonstrated knowledge to use visualization tools (i.e., Power BI) will be advantageous • Investment banking product knowledge and other regulatory development around IB • SAS, Python, R • CA/MBA(Finance)/ M.SC (stats) • Certifications in CFA/ FRM