• Assist the wholesale modeling team with model development, analytics, and performance monitoring.
• The work will focus on the development of Probability of Default (PD) model.
Data acquisition/cleaning, execution of quantitative methods to select PD model drivers and model specifications, research and support of central tendency analysis and decisions, leading and support of expert panel meeting, comprehensive model documentation preparation, analytical support through the model validation process. Improve the documentation support for the description of the chosen performance measures and their associated thresholds. Apply performance measures to the portfolio with increased granularity and segmentation to ensure that the model is appropriate for use for all industry sectors and obliger sizes
Typically 4-6 years relevant consulting and/or industry and functional experience
• Master degree or higher in quantitative field.
• At least 2 years’ experience with wholesale credit modeling, especially experience with PD models is preferred
• At least 3 years of credit risk modeling is required
• Strong interpersonal skills and the ability to work professionally and independently, and communicate with various stakeholders.
• Programming experience with Python is a must.