Credit Risk Model Development
- EXL
- 4 - 9 years
- Pune
- 8 months ago
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Job Description
Role & responsibilities :
- Credit Risk Analyst will play a critical role in developing, executing, and refining credit risk stress testing models and frameworks to ensure that the organization is well-positioned to manage and mitigate credit risk under various economic and financial scenarios.
- Hands on Model Development experience
- Focus should be more on Regulatory model development and NON regulatory model development + SAS
- End to end model development experience
- Credit Risk Stress Testing: Develop and execute stress testing frameworks to assess credit portfolio vulnerabilities under adverse scenarios. This includes scenario design, data collection, model execution, and result interpretation.
- Model Development: Collaborate with risk modeling teams to enhance stress testing models, including probability of default (PD), loss given default (LGD), and exposure at default (EAD) models.
- Data Analysis & Reporting: Analyze large datasets to identify trends, risks, and performance gaps.
- Scenario Analysis: Create customized stress scenarios for specific market and credit risk factors such as changes in interest rates, unemployment, or housing market conditions.
- Documentation & Validation: Maintain thorough documentation of stress testing methodologies and validation efforts for both internal and regulatory audits
- Regulatory Knowledge:
- Familiarity with global regulatory requirements (e.g., Basel III, IFRS 9, HKMA, MAS, CCAR, CECL ) related to credit risk stress testing.
Preferred candidate profile
- Proficiency in statistical and data analysis software (e.g., SAS, SQL).
- Strong knowledge of credit risk modeling, including PD, LGD, and EAD frameworks.
- Experience with SQL and other data querying tools is a plus.
- 1-4 years of experience in credit risk management, stress testing, or financial modeling, preferably in the banking or financial services sector.
- Hands-on experience with regulatory stress testing frameworks (CCAR, DFAST, CECL) is highly desirable.
- Candidates with experience on Credit Cards analytics or Any other lending strategy experience will also work
Job Classification
Industry: IT Services & ConsultingFunctional Area / Department: Data Science & AnalyticsRole Category: Data Science & Analytics - OtherRole: Data Science & Analytics - OtherEmployement Type: Full timeContact Details:
Company: EXLLocation(s): Pune+ View Contact
Keyskills: SAS Credit Risk Modelling Model Development Python Model Validation credit cards analytics Risk Modeling Ccar Fraud Analytics SQL Basel Risk Analytics Credit Risk Fraud Risk Assessment IFRS
Fraud Alert to job seekers!
₹ 20-35 Lacs P.A
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