Description
Required competencies- Conceptual understanding of the data and methodology used for top regulatory models (e.g., PD/EAD/LGD models for credit risk, Value-at-Risk models for market risk, ALM & behavioral models for interest rate risk)
- Knowledge of domain, products and related software to help with the development and diffusion of the required knowledge and expertise
- Experience with risk policy and analytics in areas of loss mitigation, model development/validation, loss forecasting, Basel compliance, creating and executing stress testing scenarios, ALLL reporting, CCAR submissions
- 3 - 8 years of hands-on experience in risk modeling/segmentation, customer/prospect databases, customer behavior data and segmentation
- Exposure to Moody's Risk Analyst (MRA) / RiskCalc, LossCalc, KMV models
- Expertise or a good knowledge of the credit risk rating for various Asset Classes: Retail, Wholesale, Equity, Bank, Sovereign
- Understanding of BCBS & SR 11/7 requirement in risk quantification & risk model validation & governance.
- Proficiency working with large databases or data warehouses using SQL or OLAP query tools.
- Good communication, stakeholder, team and project management skills to enable working with multiple teams if required
- Ability to work independently on projects and present effectively to senior stakeholders
EDUCATION
MBA (Finance, Financial Engineering); MS in Statistics, Economics, Finance and other quantitative discipline. Certifications such as FRM, CFA preferred