Vacancy Description
Description
& Summary:
Bachelor's or Master's degree in finance, economics, mathematics, or a related field 4+ years of relevant experience in credit risk management, with knowledge of PD/LGD/EAD, CCAR loss estimation & PPNR, PRA stress testing, Scenario analysis, IRB, IFRS 9, CCEL, credit rating models, and other credit risk models Advanced statistical and quantitative modelling skills: Linear regression, logistic regression, 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 Good soft skills, including effective communication, team collaboration, and client engagement Strong project management skills FRM, CFA, CQF would be a plus Responsibilities:
Expert in the Model development primarily for PD/LGD/EAD, CCAR loss estimation & PPNR, PRA stress testing...
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