Job Description

Manager- PPNR & Credit Risk Quant - Mumbai / Bangalore

Level: Manager
Location: Mumbai/ Bangalore

Responsibilities:

- Expert in the Model development/Model validation primarily for Pillar 2 Model development, focused on PPNR modeling ( Balance Sheet Forecasting ) for ICAAP , regulatory stress tests, CCAR /DFST submissions.

- Responsible for all phases of model development for PPNR models (Loans, Expenses, Deposits, Interests Etc.) including model and methodology design, exploratory data analysis, model selection, testing, implementation, documentation, and ongoing monitoring.

- Quantitative modeling , including building forecast and stress test models

- Work with Business to identify factors driving the gross revenues and perform periodic calibration of the model by revisiting macro-economic factors, assumptions, and limitations.

- Ability to independently review model documentations, undertake appropriate qualitative & quantitative analysis and author high quality analytical documentation.

- Prepare and deliver presentations to clients on Pillar 2 risks, stress testing, climate risk topics.

- Manage projects and ensure deliverables are completed on time and within budget

- Good written and verbal communication and presentation skills and ability to build report with the stakeholders to suggest the solution and communicate the impacts.

Requirements:

- Advanced statistical and quantitative modelling skills: Linear regression, logistic regression, Time Series Modeling, ARIMA modelling, Markov Chain, Merton Model, and other data mining/predictive modelling skills

- Strong programming skills in Python, R, SAS , Excel VBA, and other programming languages

- Strong project management skills

- Strong organizational and interpersonal skills.

- FRM, CFA, CQF would be a plus

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