Credit Risk Modeling Specialist
PwC IndiaRepublic Of India, IN6 days ago
Job descriptionExpert 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
Job Description & Summary :
- Bachelor's or Master's degree in finance, economics, mathematics, or a related field
- 6+ 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
Responsibilities :
Mandatory skill sets : Credit Risk Quant
Preferred skill sets : Model Development / Validation
Years of experience required : 3+ Years
Education qualification : MBA / CA
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Credit Specialist • Republic Of India, IN
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