Manager/ Assistant Manager Credit Risk Modeler-Karachi

By HRSG Pvt. Limited, Lahore                                                                     Qualification:

• Masters / Bachelors degree (16 years of equivalent education) in quantitative discipline (Actuarial Science, Statistics, Finance and Mathematics) from HEC recognized institution. CFA/FRM certifications will be preferred

Experience:

• Relevant experience in financial modeling, hand-on statistical risk modeling experience of building Credit Application and Behavior Models with demonstrated proficiency in each step of scorecard development and its validation. Knowledge and Hands on with Advanced Excel, VBA, C++, SPSS/SAS and other programming skills with experience in working with large datasets.

Jobs Description:

• Develop Credit Application Scorecard Models. Develop policy & new risk models to help the organization to improve risk management and to satisfy regulatory requirement.
• Develop models for Probability of Default (PD), Expected Credit Loss (ECL), Loss Given Default (LGD), & Exposure at Default (EAD), Credit Conversion Factor (CCF) and it’s testing for retail portfolios. Validation of general and specific provisions according to accounting standards.
• Ensure the model outputs are fit for purposes not only for regulatory capital and ECL estimates but also for daily business usage, underwriting, risk appetite decisions and strategy design. Responsible for compiling and documenting modeling and analytical results in an organized way continuously improving risk modeling tools and methods by enhancing data, including new risk characteristics.
• Support the Organizational efforts on Credit Policy and Risk Appetite, including verifying the integrity of the underlying data and rationale, monitoring and validation of the underlying theories and methodologies.
• Monitor internal models performance through Back-testing exercise on semi-annual basis. Document the assessment to the required standards (technical model documentation)