We are looking for a risk modeling professional to deliver client facing projects/engagements in quantitative model development projects including full development, re-development, calibration and fit for use assessment of models in the risk and regulatory area. This would involve application of various industry best practices and techniques in risk modeling including but not limited to linear/ logistic regression, time series methods, Markov chain, survival modelling and machine learning techniques.
The selected candidate will work with leading banking clients to support varied model development needs in a fast-paced environment, bring in critical thinking, expertise in modeling and industry best practices.
Works hands-on in development, re-development and calibration of risk and regulatory models, including but not limited to credit decision scorecards, Basel IRB – PD, LGD, EAD, Stress Testing, IFRS 9/CECL models, counter fraud and AML models,
- Providing thought leadership and oversight for a team of risk modelers/validators
- Develop presentations to be shared with senior client management
- Data and quantitative analysis to support modeling decisions
- Leading development of model methodologies, algorithms and diagnostic tools for testing model robustness, sensitivity and stability
- Detailing model techniques and interpretation of variables used in the models to be documented and presented to client Stakeholders
- Validation for the source data quality, forecast data quality as well as change management
- End to end model development. Participation in assessment of compliance with regulatory needs, validation support, implementation support and testing plan
- Helping develop thorough technical documents for distribution and presentation to senior management, model developers, auditors and regulators
- Bringing in industry best practices and consultative inputs to help deliver continuous value to client engagements in advanced risk analytics
