credit risk analyst

Position: Sr. Credit Risk Analyst

Location: Remote (Hyderabad)

Duration: Contract long term

Domain: Finance or Banking

Required Skills:

• 10 + years’ experience in risk analytics and modeling
• Default credit risk analysis
• Credit portfolio management
• Retail banking predictive models – PD, LGD, EAD
• ETL
• SAS predictive modeling
• Time series models – AR(Autoregressive), Moving average(MA), ARMA, ARIMA, ARCH,
• GARCH
• Model performance using various methods for regression (MAE, MAPE, RSE, MSE,
• PRESS), classification (Confusion Matrix, AUC, ROC, Lift charts, gain charts).
• Logistic regression
• BASE SAS – imp: MACROS, PROC

Required Expertise:

1. Experience in using statistical software such as SAS for the purpose of quantitative modelling, model related analyses, and model testing.

2. Good Experience of credit risk and regulatory model development and/or validation

3. Good Experience of credit portfolios and the life cycle of credit risk models including development, validation, implementation and monitoring

4. Document writing, presentation development and advanced excel skills

Scope of the Services:

1. Preparation, processing, and analysis of data

2. Model build and evaluation- driver identification, segmentation analysis, choice of approach, model estimation, impact analysis

3. Testing and documentation – developer validation, model documentation in accordance with bank policies, pre-implementation testing

4. Implementation support