Stress Testing Quantitative Analyst - Credit Risk - Banking/Financial Services

Role Overview:

We are seeking a highly analytical Stress Testing Quantitative Analyst to join our risk management team in Mumbai/Navi Mumbai. In this role, you will be responsible for developing, validating, and executing complex stress testing frameworks to assess the bank's capital adequacy under various macroeconomic scenarios. You will collaborate closely with cross-functional teams, including Risk Policy, Finance, and IT, to ensure that our risk models align with regulatory expectations and internal business strategies.

Key Responsibilities:

• Design and implement advanced stress testing models to quantify credit risk exposure, ensuring compliance with global regulatory standards such as IFRS 9 and Basel III.
• Develop and refine PD (Probability of Default) and LGD (Loss Given Default) models to enhance the accuracy of credit risk assessments for diverse portfolios.
• Execute quantitative analysis on large datasets to identify emerging risk trends, providing actionable insights to stakeholders for proactive capital planning.
• Maintain and document comprehensive model methodologies, ensuring all quantitative frameworks meet internal audit and regulatory scrutiny requirements.
• Automate reporting processes using programming tools to improve the efficiency and scalability of recurring stress testing cycles.

Required Skillset:

• Demonstrated proficiency in Python and SAS for data manipulation, statistical modeling, and large-scale quantitative analysis.
• Strong foundation in statistical techniques and risk modeling, with a proven ability to apply these concepts to real-world credit risk scenarios.
• Deep understanding of regulatory frameworks, specifically regarding iRB approaches, IFRS 9 impairment modeling, and capital stress testing.
• Demonstrating self-motivation and the capacity to manage multiple high-priority projects simultaneously.
• Candidates must possess 3 - 6 years of relevant experience in quantitative risk management within the banking or financial services sector.