Credit Risk Modeler (Fulltime)

Job Description:    

-         Develop and validate Credit Risk models for Banking and Finance (BHC)

-         Extract and clean data for credit risk modeling

-         Prepare Data for modeling

-         Using SAS for model building and model validation

-         Document the process and present the finding to the management

-         Prepare PowerPoint presentations and document preparation for the entire credit risk modeling process.

-         Collaborate, Support, Advise and Guide in development of the models.

Skills/Knowledge required:

Basic:

-         MS in Finance, Financial Engineering, Analytics or Mathematics, Computer Science, Statistics, Industrial Engineering, Operations research, or related field.

-         Good understanding of Probability of Default (PD), LGD and EAD modeling technique.

-         Very good understanding of Predictive modeling techniques and their application.

-         Knowledge of Credit life cycle.

-         Knowledge of CCAR process

-         Stress testing, PPNR and BASEL

-         Expert in SAS & SQL