Quant Analyst- Credit Risk & Market RIsk
Job Description:
Role Summary:
The Credit Risk Quant Analysts will work on developing, validating, and enhancing models for credit risk assessment in banking and financial services.
Key Responsibilities:
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- Validate credit risk models, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).
- Develop and implement credit risk scoring models using advanced statistical techniques.
- Ensure compliance with regulatory standards such as IFRS 9 and Basel III/IV IRB approaches.
- Conduct benchmarking, backtesting, and stress testing of credit risk models.
- Analyze loan portfolio performance and provide insights for risk mitigation.
- Strong expertise in credit risk modeling techniques and statistical methods.
- Proficiency in programming languages like Python, R, or SAS.
- Knowledge of Basel III/IV credit risk regulations and IFRS 9 standards.
- Advanced degree in Quantitative Finance, Statistics, or Economics.
- Understanding of loan portfolios and retail/commercial banking products.
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Dear Rajat,
Greetings of the day!
We are hiring for the role of Quant Analyst – Market Risk Grant Thornton. Please find the details as follow:
Role Summary:
The Market Risk Quant Analysts will focus on market risk model development, validation, and compliance, ensuring that banks meet regulatory and risk management standards.
Key Responsibilities:
- Validate market risk models, including Value-at-Risk (VaR), Expected Shortfall, and Stress Testing frameworks.
- Develop and enhance models for FRTB (Fundamental Review of the Trading Book) compliance.
- Perform backtesting, sensitivity analysis, and scenario analysis for trading portfolios.
- Collaborate with risk management teams to ensure compliance with Basel III/IV requirements.
- Support in implementing and validating pricing models for derivative instruments.
Required Skills:
- Expertise in market risk metrics (VaR, Expected Shortfall, etc.) and FRTB frameworks.
- Strong programming skills in Python, R, or MATLAB for model development and analysis.
- Knowledge of Basel III/IV market risk regulatory requirements.
- Advanced degree in Quantitative Finance, Financial Engineering, or related disciplines.
- Strong understanding of trading products like derivatives, bonds, and FX instruments.
Key Skills :
Company Profile
Forget what you think you know about professional services. We go beyond what’s expected and help others do the same. Client is the U.S. member firm , one of the world’s leading independent audit, tax and advisory firms. That means our network has more than 60,000 professionals in more than 135 countries who are ready to help public and private organizations of all sizes take on today’s challenges. But what sets us apart isn’t just what we do – it’s how we do it. Here, we believe in making business more personal and building trust into every result. We’re collaborators – obsessed with quality and ready for anything – who understand the value of strong relationships. It’s how we challenge the expectations of business and empower our people and clients to do it, too. One thing we won’t do?
Apply Now
- Interested candidates are requested to apply for this job.
- Recruiters will evaluate your candidature and will get in touch with you.