Credit Risk Manager - PD/LGD & EAD

Overview:

We are currently looking for candidates with credit risk profiles for one of our fintech clients.

Role:

Credit Risk - PD, LGD, and EAD models (Bangalore, Chennai, Pune - Hybrid).

NOTE:

We specifically require candidates with end-to-end model development experience. Solely having model validation experience does not meet the requirement.

Key Responsibilities:

- Build statistically robust application and behavior scorecards; develop PD, LGD, and EAD models.

- Probability of Default (PD) Models.

- Loss Given Default (LGD) Models.

- Exposure at Default (EAD) Models.

- Design loss-forecasting frameworks (vintage, roll-rate/Markov, survival/hazard, GLM/GBM) at segment and portfolio levels.

- Engineer features from bureau, internal behavioral, transaction, device, and alternative data with rigorous quality control.

- Calibrate and backtest models; perform stability monitoring (PSI/CSI), discrimination (KS/AUC), and calibration tests.

- Implement explainability (reason codes/SHAP), bias/fair-lending checks, and challenger/benchmark models.

- Align models to accounting and capital frameworks (IFRS 9, CECL, or Basel concepts).

- Drive portfolio spend growth through segment/persona targeting and campaign recommendations.

Key Skills & Requirements:

- Experience in NBFC, Banking, Credit Card, or Fintech sectors.

- Hands-on experience building application scores, behavior scores, and PD/LGD models.

- Solid understanding of IFRS 9 or CECL (lifetime ECL, staging/pooling) and model risk governance.

- Strong knowledge of the credit card lifecycle and portfolio interventions.

- Proficiency in Python, Machine Learning, and SQL.

- Excellent communication skills for documenting and explaining complex methods to non-technical audiences.

- Exposure to bureau data, alternative data, and identity/behavioral signals.

Interview Process:

Total 3 technical rounds (2 rounds evaluation with Latent View and 1 with client).