Senior Associate - Credit risk Quant

Skill - Credit Risk Quant

Location - Mumbai

Designation - Senior Associate / Manager

Develop and/or validate credit risk models, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models.

• Ensure compliance with IFRS 9, CECL, and other relevant regulatory requirements.

• Conduct quantitative analysis and stress testing to assess model performance and risk exposure.

• Collaborate with cross-functional teams to gather data, refine model assumptions, and improve model accuracy.

• Document model development and validation processes, including methodologies, assumptions, and findings.

• Provide insights and recommendations to improve credit risk management practices and strategies.

• Stay updated on industry trends, regulatory changes, and advancements in quantitative modeling techniques.

• Participate in internal and external audits, addressing any findings related to credit risk models. Qualifications:

• Masters or Ph.D. degree in Quantitative Finance, Statistics, Mathematics, Economics, or a related field.

• Proven experience in credit risk model development or validation, particularly under IFRS 9 and CECL frameworks.

• Strong quantitative and analytical skills, with a solid understanding of statistical and mathematical modeling.

• Proficiency in programming languages such as Python, R, SAS, or MATLAB.

• Familiarity with data management tools and techniques, including SQL and data visualization platforms.

• Excellent communication skills, with the ability to explain complex concepts to non-technical stakeholders.

• Strong attention to detail and the ability to manage multiple projects and deadlines.