AVP - Wholesale Risk Modeling

Rinalytics Advisors Pvt. Ltd.
  • Bangalore
  • 10-15 lakh
  • 6-11 years
  • 12 Aug 2015

  • Business Analytics

  • Banking - Retail
Job Description

- Development & maintenance of models of Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) and correlations for the Wholesale Banking portfolio

- Develop model code and support model testing prior to deployment in the group's strategic risk model system

- 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, recalibration and implementation of each model is completed in accordance with the team's detailed work plan

- Ensuring that all model related work meets regulatory requirements and internal policy standards

- Manage a team of Specialist Risk Modelers while working on Projects

- Managing relationship with business heads and other stakeholders across the wholesale and retail bank 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

- Work closely with business and product management to provide value adding risk analytics solutions for the enhancement of risk-return tradeoff

- Review, monitor and back test credit risk models performance

The Successful Candidate:

- Bachelors/Masters/Ph.D. in Economics, Statistics, Financial Engineering from a Tier 1 Institute like IITs, ISI, DSE etcetera

- At least 6 years of relevant experience of designing, developing, enhancing, and implementing credit risk models/analytics

- Extensive knowledge of credit risk modelling across investment banking or wholesale banking is a must along with excellent knowledge of SAS

- Hands-on experience in all stages of model development (development, validation, tracking, monitoring, implementation) of credit risk models for corporate/commercial/wholesale/investment banking is a must

What's on Offer: Excellent Opportunity to work in Advanced Analytics in a Risk Modeling role with one of the largest Global Banks. The organization is known to encourage Work Life Balance and promotes International Mobility

Job Posted By

Manav Das
Associate Partner

About Organisation

Rinalytics Advisors Pvt. Ltd.