Risk Advisory Credit Risk Assistant Manager

Description

 Role 

• 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 Good communication skills, analytical and presentation