Credit Risk Quants,credit risk management,PD/LGD/EAD, CCAR

Job Description & Summary:

• Bachelor's or Master's degree in finance, economics, mathematics, or a related field

• 4+ 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

Job Position Title: Senior Associate _ Credit Risk Quant _ Financial

Services Risk_Advisory_Mumbai Shivaji Park

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: 4 to 7 Years

Education qualification: MBA/CARole & responsibilities

Preferred candidate profile