Consultant - Credit Risk Model Development

Location
Bangalore, Karnataka, India
Salary
Unspecified
Posted
17 Aug 2020
Closes
17 Sep 2020
Ref
83772
Contract type
Permanent
Hours
Full time
Experience level
Qualified accountant

About Northern Trust:

Northern Trust provides innovative financial services and guidance to corporations, institutions and affluent families and individuals globally. With 130 years of financial experience and nearly 20,000 partners, we serve the world’s most sophisticated clients using leading technology and exceptional service.

Working with Us:

As a Northern Trust partner, you will be part of a flexible and collaborative work culture, which has a strong history of financial strength and stability. Movement within the organization is encouraged, senior leaders are accessible, and you can take pride in working for a company that is committed to strengthening the communities we serve!

We recognize the value of inclusion and diversity in culture, in thought, and in experience, which is why Forbes ranked us the top employer for Diversity in 2018.

We’d love to learn more about how your interests and experience could be a fit with one of the world’s most admired and ethical companies. Build your career with us and apply today.

This Consultant position supports the Risk Quantification and Analytics work and is responsible for primarily credit risk model development, maintenance, back-testing, and monitoring of probability of default (PD), exposure at default (EAD), and loss given default (LGD), borrower risk rating, and stress testing models across CCAR and CECL. This is an individual contributor role. He will be part of Global Model Strategy and Data Analytics Team and closely work with modelers, business and Validation team.

Job Duties

  • Work as a risk analytics expert who can play a key role developing any kind of risk models and monitor them as per requirement
  • Primarily development of credit risk models (PD/EAD/LGD) for Wholesale and Retail. Acts as an important contact for credit risk models with regulators, Internal Audit Department, and Model Validation Group
  • Resolve complex issues in modeling credit risk rating models PD/EAD/LGD used in the calculation of economic and Basel capital, allocation of capital for performance measurement, and other aspects of credit risk management. CCAR/CECL credit loss modelling experience for whole sale and retail
  • Works with senior team members to evaluate existing processes in relation to corporate objectives and industry leading practices. Assess development needs and manage process to achieve desired future state.
  • Supports internal risk rating system. Ensures that the risk rating system framework meets needs of internal constituents and regulatory requirements. Help in enhancing the process, automation and provide the industry view
  • Helps to resolve credit risk issues and enhance overall credit risk framework. Works with Credit Risk Management Group to ensure that risk management policies/processes and quantitative modeling approaches are consistent.
  • Ensures that risk rating models meet both internal corporate needs and regulatory requirements related to Basel II.
  • Participates in developing, implementing and monitoring risk rating models. Perform Back testing when requires

Qualification

  • Ph.D. or Master in Statistics/ Economics/Mathematics/advanced degree in quant area
  • Or B.tech. From tier 1 college with MBA in related field

Skills Required

  • Excellent oral and written communication skills
  • Basic CCAR and DFAST, CECL, FRY-14A, SR-11/7 understanding. Strong regulatory understanding. Experience in Moddy’s risk analyst, different rating data sources like Fitch, Credit pro, Moody etc.
  • Solid analytical and problem-solving skills; ability to isolate and solve issues using large amounts of data. Machine Learning and AI experience will be plus
  • Process orientation with strong technical skills and attention to detail
  • Strong conceptual and technical knowledge of risk concepts and quantitative modeling techniques like Logistic Regression, Markov Chain, Survival Analysis, Time Series and other forecasting methods
  • Technical skills / systems knowledge (e.g. SAS, R, and Advanced Excel) is preferred
  • Minimum 5 years of credit risk modeling experience across wholesale and retail
  • Working knowledge of SAS and Excel strongly preferred
  • Strong presentation and interpersonal skills
  • Related Industry qualification (e.g., CQF, FRM) will be preferred

For further information, and to apply, please visit our website via the “Apply” button below.

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