Credit Risk Modeller

Job Description
  • The role is to assist Credit Risk in develop and review the credit scoring models. 
  • Develop, implement and maintain quantitative models / scorecards and systems to assess the default likelihood, recovery expectations and volatility for different segments of the retail portfolio
  • Evaluate, implement and monitor internal and external credit scoring models and/or financial forecasting models using both traditional and other advanced predictive technologies, segmentation and optimization tools in strategy development.
  • Develop and maintain user requirements, parameters and configurations of rating systems for different customer segments.
  • Monitor, back test and report performance of the models.
  • Work closely with independent model validators to ensure adherence to the governance framework for model deployment and ensure timely closure of validation issues.
  • Active engagement with stakeholders to develop analytic solutions using outputs from such models in credit decisioning, business strategies, risk appetite setting and capital assessment.

Job Requirements
  • Strong quantitative and analytical skills with a degree in a quantitative discipline (Statistics, Mathematics, Applied Mathematics, Engineering, Data Science/Analytics or related field). Master s degree preferred
  • Strong data manipulation and computational skills preferably in R, Python Scripting or SQL.
  • At least 5-7 years of relevant experience in a related area.
  • Experience in risk analytics or credit risk management in consumer portfolios will be an advantage.

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