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As Research Statistician Developer, you will work as part of Global R&D team developing Credit Risk Analytics software in the focus area of Regulatory and Economic Capital. You will get to analyze regulatory requirements, research and select appropriate quantitative techniques, develop high quality Credit Risk Analytics software for Global markets.
- Analyze the Banking Regulations like Basel III, CRD IV, USFINAL for capital adequacy norms
- Review RWA calculations for Credit Risk for Wholesale/Commercial and Retail Exposures in accordance with relevant regulatory requirements & frameworks
- Review optimization strategies for Credit Risk Mitigation
- Review Credit valuation adjustment calculation
- Review the impact on Regulatory Reporting submission
- Research and select appropriate quantitative techniques
- Implement the quantitative techniques in Credit Risk Analytics software by designing, programming, testing, and documenting code
- Work closely with global community of SAS Risk Professionals working as presales, consulting, technical support and product management
- Builds expertise in one or more specialized areas of Risk and Finance domain by participation in research conferences and professional activities
- Learns advanced programming techniques using SAS
- Becomes versed in relevant domain and quantitative techniques literature
- Develops sound judgment about software design and content.
- Risk management professional with advanced degree in finance, mathematics, statistics, econometrics, engineering or other quantitative subject
- Up to 5 years of experience in Credit Risk Analytics in a financial institution or similar experience gained through working for a software vendor or a consulting organization
- Understanding of wholesale banking products (FX products, working capital financing, large trade transactions) and / or Retail banking products (Mortgages, Credit Cards, Personal Loans)
- Strong understanding of PD, LGD, EAD, Maturity and RWA calculations
- Good understanding of regulatory guidelines/requirement including BASEL II/III and/or CRD IV
- Awareness of Macroeconomic scenario based stress testing like CCAR, EBA Stress
- Aptitude for professional software development as demonstrated by programming experience in SAS, R, Python or equivalent language
- Ability to work independently.
- FRM Certification is highly preferred
- Experience interacting with customers at implementation level
- Knowledge of other banking regulations such as IFRS9, CCAR, DFAST, EBA Stress
- Knowledge of software development life cycle
- Superior analytical problem solving skills
- Excellent written and verbal communication skills
- Ability to apply customer and business needs to product management plans
- Ability to develop creative solutions to complex problems, and to manage multiple tasks simultaneously
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