Quantitative Resource

Interested candidates please share your resume to pavithra.n@gomoder.com

Job Summary:

We are looking for a quantitative professional to develop and validate advanced credit and liquidity risk modelsincluding PD, LGD, EAD, NII, EVE modelsensuring both robust model design and rigorous independent review. This role requires experience in model development and validation, with strong programming, data analysis, and regulatory knowledge.

Key Responsibilities:

• Design, build, and implement credit and liquidity risk models using advanced quantitative techniques (e.g., linear, logistic regression, decision trees, survival analysis, time series, supervisory and un-supervisory techniques).
• Independently review models to ensure conceptual soundness, regulatory compliance, and performance integrity.
• Conduct data analysis, feature engineering, model calibration, back-testing, benchmarking, and scenario/sensitivity testing.
• Document methodologies, assumptions, and validation results for internal governance, audit, and regulatory submissions.
• Prepare Model Documentation and Validation reports in adherence to SR11-7 or PRA SS 1/23 guidelines
• Collaborate with risk, treasury, technology, and data teams for model integration, remediation actions, and ongoing monitoring.
• Prepare and present technical materials for management and regulatory audiences, articulating strengths and limitations.
• Maintain high data quality standards and contribute to the firms model risk management framework.

Qualifications:

• Masters degree (or higher) in Quantitative Finance, Mathematics, Econometrics, Statistics, Engineering, or related field.
• 25 years of direct experience in credit risk and/or liquidity model development and validation within banking or financial services.
• Advanced expertise in statistical modeling/ machine learning, and risk parameter estimation.
• Proficiency in Python, R, SQL, and advanced Excel; familiarity with ALM software (e.g., QRM, BancWare,ZM Model) is a plus.
• Basic understanding of the working of assets and liabilities in the Balance Sheet of the Bank
• Strong critical thinking for both building and challenging models, identifying weaknesses and regulatory gaps.
• Knowledge of banking regulations (e.g., Basel II/III, CCAR, DFAST,CECL) and model risk governance practices.
• Excellent communication skills with ability to convey technical topics to non-technical stakeholders.

Preferred Skills:

• Experience with mortgage, retail, or wholesale lending portfolios.
• Direct involvement in model risk management, including documentation and independent review.