Our Client is one of the largest financial services company in India and is headquartered in Mumbai, Maharashtra.
Location - Mumbai
Role - Basel Analyst
Job Purpose - The role will involve Projects on Automation and Implementations, Liaising extensively with Credit, Policy, Risk Analytics, Audit, Validation Units and IT including Active engagement with Senior Management.
Job Responsibilities:
- Model Building - Development, monitoring and performance tracking of credit risk models for the SME & Retail portfolio.
- Building of new Probability of Default (PD), Loss Given Default (LGD) & Credit Conversion Factor (CCF) pooling models or reviewal of the existing models for refinements
- Building Statistical Rating Models for the SME Portfolio
- Designing of Pricing Models for the Retail Portfolio
- Explore alternate statistical techniques to support credit risk modeling and other knowledge development projects
- Prepare model documentation and monitoring packs as per internal and regulatory guidelines. Tracking model performance, suggesting improvements and implementing approved changes
- Assist in model implementation and deployment. Liaise with Business Solutions Group and relevant stakeholders for process and system implementation/improvements
- Team/Stakeholder Management - Managing the team of Analyst / Sr Analyst and mentoring them on various aspects related to model building, statistical techniques etc
- Extensive interactions with Credit underwriters/internal rating analysts/Risk Analytics Unit to identify relevant risk attributes in the model and keep abreast with changing operating environment and underwriting standards
- Work closely with the internal ratings team of the Bank to identify and develop new model for rating specific exposures, financial sensitivity model etc
- Work with internal stakeholders such as Validation, Audit etc to ensure models are performing in line with their design and business objectives and identify any limitations
Reporting - Ensure stringent timelines around project deliverables are met and all the stakeholders are informed about the project status
- Present model development and monitoring results to various risk committees and Senior Management to maintain strong governance
- Responding to RBI on any queries related to model building and putting requisite process / controls in place
- Policy formulation for model building and its allied processes.
Educational Qualifications - Post-Graduate or MBA ( preferably in Statistics or an MBA or Economics)
Experience Required -
-Minimum 3 years of experience of working in Credit risk modeling or Analytics
- Exposure to banking/Analytics agencies/Big4 preferable
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