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Opportunity in Credit Risk modelling

7.00 to 11.00 Years   Pune   23 Jun, 2023
Pylon Management Consulting Private Limited
Job LocationPune
EducationNot Mentioned
SalaryNot Disclosed
IndustryConsumer Durables / Electronics
Functional AreaStatistics / Analytics
EmploymentTypeFull-time

Job Description

    Description:
    • This position within Personal Banking and Wealth Management will develop CCAR/CECL models for secured and unsecured portfolios (e.g., credit cards, installment loans, mortgage etc.)
    Looking for Credit Risk analytics professionals with the below expertise -
    • Develop segment and/or account level CCAR/CECL stress loss models
    • Perform all required tests (e.g. sensitivity and back-testing)
    • Validate/recalibrate all models annually to incorporate latest data. Redevelop as needed
    • Prepare responses/presentations to regulatory agencies on all CCAR/CECL models built
    Qualifications:
    • Advanced Degree (Bachelors required, Masters / PhD preferred) in Statistics, Applied Mathematics, Operations Research, Economics, MBA (Finance), or other highly quantitative discipline
    • 7+ years experience in performing quantitative analysis, statistical modeling, loss forecasting, loan loss reserve modeling, and particularly econometric modeling of consumer credit risk stress losses
    • Experience with dynamics of unsecured or secured products a strong plus
    • Active role in performing some analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconcilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, and model production implementation)
    • Exposure to various stress loss modeling approaches at the segment or account level preferred
    • Able to communicate technical information verbally and in writing to both technical and non-technical audiences
    • Proficiency in SAS/SQL/Oracle/Unix/Microsoft Word, Excel and PowerPoint
    • Mentor/manage 1 3 member team

Keyskills :
irbbaselrisk modelingccarcredit riskifrsrisk modelsppnr

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