Model Developer/Validator Corporate Credit Risk Rating

5 - 10 years

0 Lacs

Posted:1 week ago| Platform: Shine logo

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Work Mode

On-site

Job Type

Full Time

Job Description

You are an experienced Senior Quantitative Analyst specializing in credit risk modeling, especially focused on Internal Credit Risk Rating modeling. Your role involves leading the end-to-end development and validation of advanced credit risk models, with an emphasis on Expert judgement-based PD models for various sectors. You will work on data preparation and preprocessing using tools like SAS, Python, R, and SQL. Collaboration with cross-functional stakeholders is key to analyze and interpret complex model results and insights. Your responsibilities also include developing technical documentation for regulatory compliance, test plans, validation reports, and business requirements documents. Continuous model improvement is expected through optimization, implementing advanced modeling techniques, and enhancing predictive accuracy. Mentorship and technical guidance to junior team members are essential to foster knowledge sharing and professional development. Required qualifications include 5-10 years of hands-on experience in credit risk model development, expertise in modeling across retail and wholesale credit portfolios, proficiency in SAS, Python, R, SQL, deep understanding of IFRS9 and CECL regulatory frameworks, analytical skills, and excellent communication abilities. Preferred qualifications include an advanced degree in Statistics, Mathematics, Economics, or related field, professional certifications in risk management or financial modeling, experience with IRB modeling, machine learning techniques, and knowledge of Basel regulatory guidance. Technical skills required for the role encompass Model Development (PD, LGD, EAD, Qualitative PD Models), Programming (SAS, Python, R, SQL), Regulatory Knowledge (IRB, IFRS9, CECL), Statistical Modeling, Data Preprocessing, and Machine Learning Techniques.,

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Crisil

Financial Services

Mumbai Maharashtra

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