Assistant Manager - Credit Risk

About the role

Estimate PD, LGD, EAD, and Prepayment for retail (Credit Cards, Residential Mortgage, HELOC, etc.) and wholesale (Commercial and Industrial, Commercial Real Estate, etc.) portfolios. Develop and calibrate models for predicting Expected Credit Losses under US GAAP’s CECL and IFRS 9 standards. Integrate forward-looking perspectives, scenario weightings, lifetime loss parameters, and macroeconomic linkages.

What you'll do

• Develop Regulatory Capital Models compliant with Basel III/IV standards and IRB approaches. Estimate PD, LGD, EAD, and Prepayment for retail (Credit Cards
• Develop and calibrate models for predicting Expected Credit Losses under US GAAP’s CECL and IFRS 9 standards. Integrate forward-looking perspectives
• Develop and maintain Underwriting and Origination Models including classification models for pre-approval, approve/decline, etc. and regression models for limit setting
• Design and implement models for Stress Testing and Scenario Analysis. Incorporate regulatory (CCAR, DFAST) and internal stress scenarios, projecting losses
• Develop and implement segmentation, pool assignment, and scorecard strategies as appropriate. Select and justify appropriate model methodology (traditional model vs…

What you need

• Credit risk
• IFRS
• Underwriting
• Performance testing
• Machine learning
• Statistics
• MBA or B.Com or CFA

Good to have

• CFA