Description

Job details

Proposed designation

Senior

Role type

Individual Contributor

Work with our clients primarily in the US/UK market to assist them in credit risk engagements pertaining to model

development/validation.

Geo to be supported

UK

Work timings

9:00AM to 5.30PM

Responsibilities

Roles and Responsibilities

Model development/validation/audit/review primarily for one or more credit loss forecasting models in either retail or wholesale

domain primarily for IRB models as well as for IFRS9/CECL/CCAR/DFAST reporting including PD/EAD/LGD component

models. Validation process involves understanding of the relevant regulatory requirements, development document, testing

and benchmarking using SAS, R or Python and report writing.

A robust understanding of UK and EBA regulatory environment and regulations related to IRB models. Knowledge of other

relevant standards such as IFRS9 is a plus

Assist with other model development/validation activities for Underwriting scorecard, Credit Scoring, behavioral models,

economic scenario models or automation activities related to validation when required

Model validation including assessing conceptual soundness, critical assessment of the testing performed by the model

developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the

model’s predictive power and its robustness uncertainty through the development and use of alternative benchmark models

and compliance assessment against the relevant regulatory standards

Independent model testing and formulation of supporting analysis required to address validation findings and regulatory





feedback.

Qualifications

This role is for you if you have the below

Educational qualifications

Advanced degree in Math, Statistics, Economics or any other Analytical disciplines

Any Graduate + MBA in finance with relevant experience/exposure.

Additional certifications: Professional Certification such as FRM, CFA preferred

Work experience

Prior experience of 2-4 years working in the Risk Management/Analytics division in large banks and/or tier 1 consulting

organizations like Big 4 or captives of top tier banks is preferred

Mandatory technical and functional skills

Credit loss forecasting models in either retail or wholesale domain primarily for IRB models as well as for

IFRS9/CECL/CCAR/DFAST reporting including PD/EAD/LGD component models. Validation process involves understanding of the

relevant regulatory requirements, development document, testing and benchmarking using SAS, R or Python and report writing.

A strong understanding of UK and EBA regulatory environment and regulations related to IRB models. Knowledge of other relevant

standards such as IFRS9 is a plus

Strong understanding of regulatory requirements related to model risk management including but not limited to SR11-7/SR15

18/CCAR/DFAST/CECL/IFRS9Strong analytical skills. ).

Programming skills: SAS (primary, minimum requirement), Python (secondary) and R (tertiary).

Key behavioral attributes/requirements

Ability to work independently and motivate team members.

Excellent written and verbal communication skills.

Other information

Interview process: Minimum 3 rounds of Interview.

Does the job role invol travelling: No

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