Position: Manager – Statistical Credit Risk Modelling (Wholesale)
Experience: 7 Yrs+ (5 yrs+ relevant experience)
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
About A leading bank with representation in multiple markets.
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.