Credit Risk Modeling Role

The candidate will be involved in assisting clients with formulating credit risk policies including development of credit risk models and their implementation.

The responsibilities will include :

- Implementation of expected credit losses framework and be proficient in IFRS 9

- Implementation of current expected credit losses methodology as per US GAAP

- Review credit risk policies for banks, non banking finance companies including implications on Internal Capital Adequacy Assessment Process

- Support business development initiatives in the area of credit risk advisory solutions

- Contribute to team building and knowledge sharing initiatives

The candidate should have work experience in the financial services industry as a risk advisory professional or risk management system implementation partner or risk management function in a financial services company. The candidate should be familiar with IFRS 9, US CECL, regulations issued by the Reserve Bank of India ('RBI'), European Central Bank ('ECB'), Basel Committee on Banking Supervision ('BCBS'). Further, the candidate should be proficient in modelling techniques such as vasicek and statistical measures etc used to develop and validate credit risk models.

The candidate should be a CA or FRM or degree in statistics /economics with experience of credit risk management systems.