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AVP - Credit Risk Model Development
Excellent opportunity to work in a hands on credit risk model development role
Opportunity to manage multiple international stakeholders
About Our Client
Our client is a leading corporate and investment bank with rapid expansion of their operations in Indian market. As a part of migration of value added work from the US, UK, Europe and financial centres in APAC, they are looking for an experienced professional to build credit risk models and manage the international stakeholders.
Reporting into the VP, your key responsibilities shall be:
- Development, implementation & maintenance of models of Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) and correlations for the cards/loans/current accounts/mortgage portfolio
- Perform statistical regression analysis in designing, estimating and monitoring model performance.
- Submitting and presenting model annual review and implementation proposals to divisional and group wholesale credit model committees for approval.
- Ensuring that the review, validation, re-calibration and implementation of each model is completed in accordance with the detailed work plan.
- Ensuring that all model related work meets regulatory requirements and internal policy standards.
- Managing relationship with business heads and other international stakeholders to support them in statistical and risk modeling
- Research and develop new model and enhancements of existing model suites to improve accuracy, timeliness, forward looking capability and responsiveness to economic environment
The Successful Applicant
As a successful applicant you should have
- Bachelors/Masters/Ph.D. in Economics, Statistics, Financial Engineering
- At least 7 years of relevant experience of credit risk model development
- Hands on experience in development of application scorecards
- Extensive knowledge of credit risk modelling across retail banking or wholesale banking is a must
- Miner Hands-on experience in all stages of model development (development, validation, tracking, monitoring, implementation) of credit risk models for corporate/commercial/wholesale banking is a must
What's on Offer
An opportunity to be a part of a growing setup in an established MNC based in Delhi NCR. Excellent employee friendly work culture and global exposure along with high level of Independence in your work.