Credit Risk Modeler
Moody's Analytics is a leading independent provider of economic, financial, country, and industry research designed to meet the diverse planning and information needs of businesses, governments, and professional investors worldwide. You would be responsible for credit modeling, including the development, implementation, and validation of probability of default (PD), exposure at default (EAD) and loss given default (LGD) models using state-of-the-art statistical and econometric techniques. Emphasis is on retail credit but with some exposure to corporate and other forms of risk modeling in partnership with sister companies within Moody's. Other relevant areas of credit modelling include RWA calculations, ICAAP modelling, portfolio analysis, IFRS 9 impairment modelling, and scorecard building. Experience with business strategies such as underwriting, risk-based pricing, limit-setting, limit management, and collection will be a plus.
The candidate would also be responsible for forecasting and simulation exercises, with emphasis on stress testing under alternative scenarios; contract consulting work with major financial institutions and other industry players worldwide. The successful applicant would be involved in proposal writing, modeling specification, estimation and validation, final reports and documentation writing; meeting with clients to discuss proposed and current projects; making presentations at conferences; and general client service, including serving as primary point of contact for credit modeling issues.
- Strong academic background - Ph.D. or Masters in Economics, Finance, Statistics or Mathematics (or related subjects) from a top school is essential.
- Minimum 2 years of experience working in banking or consulting firms in China.
- Knowledge of econometric techniques and ability to communicate technical subject matter clearly and concisely.
- Strong programming skills in SAS, R, STATA, MATLAB, Python, Eviews, or similar statistical softwares.
- Good interpersonal skills and the ability to build strong professional relationships at all levels
- Client focused.
- Team player.
- Highly organised and efficient.
- Ability to work using own initiative and without close supervision.
- English and Mandarin language skills are required.
Moody's is an equal opportunity employer. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, national origin, disability, protected veteran status, sexual orientation, gender expression, gender identity or any other characteristic protected by law.
Candidates for Moody's Corporation may be asked to disclose securities holdings pursuant to Moody's Policy for Securities Trading and the requirements of the position. Employment is contingent upon compliance with the Policy, including remediation of positions in those holdings as necessary.