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AVP - Credit Risk Model Development


Source:
TIMESJOBS.COM
Location:
Mumbai, MH
Date:
07-11-2016
Job Code:
58217998
Categories:
  • Banking & Finance
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Job Details

Job DescriptionReporting into the VP, your key responsibilities shall beDevelopment, implementation & maintenance of models of Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD)and correlations for the cards/loans/current accounts/mortgage portfolioPerform statistical regression analysis in designing, estimating and monitoring model performance.Submitting and presenting model annual review and implementation proposals to divisional and group wholesale credit model committees for approval.Ensuring that the review, validation, re-calibration and implementation of each model is completed in accordance with the detailed work plan.Ensuring that all model related work meets regulatory requirements and internal policy standards.Managing relationship with business heads and other international stakeholdersto support them in statistical and risk modelingResearch and develop new model and enhancements of existing model suites to improve accuracy, timeliness, forward looking capability and responsiveness to economic environmentThe Successful ApplicantAs a successful applicant you should haveBachelors/Masters/Ph.D. in Economics, Statistics, Financial EngineeringAt least 7 years of relevant experience of credit risk model developmentHands on experience indevelopment of application scorecardsExtensive knowledge of credit risk modelling across retail banking or wholesale banking is a mustMiner Hands-on experience in all stages of model development (development, validation, tracking, monitoring, implementation) of credit risk models for corporate/commercial/wholesale banking is a must
Degree: MA (Arts)

Additional Degree: BA (Arts)

Experience: 7-12

Requirements

Relationship Mgmt | Risk/Credit/Economic Analyst
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