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Senior Associate- Credit Risk Quant

Senior Associate- Credit Risk Quant

PwC Indiadehradun, uttarakhand, in
6 days ago
Job description

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 :

  • Expert 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
  • 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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    Associate Credit Risk • dehradun, uttarakhand, in

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