Risk Advisory Credit Risk Senior Manager

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