Position: Manager – Statistical Credit Risk Modelling (Wholesale)

Location: Bangalore

Experience: 7 Yrs+ (5 yrs+ relevant experience)

Role Summary:

This role is a specialised quantitative position that would contribute in developing and maintaining a healthy suite of Wholesale Credit Risk Models used across various locations of the company.

Key expectations from this role: 

  • Develop and/or re-mediate PD, LGD, EAD models (statistical, hybrid, expert based) and document the same in the Wholesale credit space
  • Identify and help re-mediate any inconsistencies or gaps related to the rating model performance data and metrics to improve model performance (discrimination, calibration, model usage)
  • Bring automation and efficiency in existing reports, codes and processes (R, SAS program codes)
  • Provide value add analysis and recommendations for model improvements based on statistical analysis and business logic
  • Stay up to date with latest changes in regulatory guidelines and enhanced standards for Credit Risk, anticipate risks & issues and take appropriate action
  • Participate in team level knowledge sharing in technical areas (e.g. model development and performance concepts, including, discrimination, calibration, overrides, model stability analysis, override analysis)
  •  Collaborate closely with onshore teams in the offshore operating model to ensure the efficient running of the service
  • Train/Mentor junior team members
  • Help in building positive atmosphere in the team

Skills, Knowledge and Experience:

  • Masters or advanced degree in management or a quantitative discipline, like Statistics, Econometrics or Financial areas
  • 5+ years of relevant experience
  • Hands on experience in credit risk modelling and/or validation for wholesale models using techniques like logistic regression binning, variable transformation, univariate and multivariate analysis, expert judgement and hybrid model build techniques
  • Sound understanding of financial ratios and financial statements and importance of those ratios in wholesale credit risk modelling
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About A leading bank with representation in multiple markets.

The Company:

A leading bank with representation in multiple markets. They serve customers across the retail, commercial and institutional space through consumer and corporate offerings in their core markets.