The person is expected to work on Credit Risk Modeling. The responsibilities include:
• Development of Regulatory modeling framework (PD/LGD/EAD) for annual stress testing exercise and meet the new credit reserve standards set by the Financial Accounting and Standards Boards (FASB) and the International Accounting Standards Boards (IASB).
• Development and enhancement of Regulatory (CCAR/CECL/IFRS9) loss forecasting models (PD/LGD/EAD) for credit and charge card portfolios.
• Perform quantitative analysis to evaluate multiple alternatives to generate insights and derive recommendations.
• Ongoing performance tracking of loss forecasting models and variance analysis of credit reserve levels.
• Development of business requirements and collaboration with technology partners for model implementation
• Strong analytical and data analysis (SAS, SQL) skills.
• Ability to apply advanced statistical and/or other quantitative techniques to solve business problems.
• Good written and oral communication skills.
• Ability to articulate complex theories, concepts, methodology and findings.
• Self motivated and with a sense of urgency.
• Willingness to work in a team environment and to cooperate with multiple partners.
Educational Qualification: MBA or Master’s Degree in a quantitative or business discipline from a premier institute
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