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08/01 Sinjana Dutta Gupta
Senior Team Lead at Pylon Management Consulting

Views:1323 Applications:377 Rec. Actions:Recruiter Actions:196

Credit Risk Modeling Role - Bank (2-9 yrs)

Bangalore Job Code: 879961

The Role Responsibilities :

- Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the wholesale and retail portfolios.

- Continuously improve the models- performance and research on the latest modelling methodology and best industry practices, while meeting all regulatory and data constraints.

- Work on the end-to-end model development (PD, EAD, LGD) cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders.

- Maintain and continue to upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.

- Ensure the model outputs are fit for purposes not only for regulatory capital and ECL estimates but also for daily business usage, underwriting decisions, risk appetite decisions and strategy design.

- Participate in relevant model implementation and its user acceptance test to ensure models are appropriately implemented not only within the direct system environment but also its relevant downstream environments.

- Understand Model related uncertainty risk such as data, regulatory, business strategy, that have a direct impact on the model's performance.

- Ensure the modelling process and models meet the Model Risk Policy and Model Family Standards.

- Strong degree (preferably postgraduate) in a quantitative discipline (e.g. Mathematics, Economics, Statistics, Computer science, Financial Engineering, Engineering) with a clear ability for analysing data and developing statistical predictive models.

This job opening was posted long time back. It may not be active. Nor was it removed by the recruiter. Please use your discretion.

Women-friendly workplace:

Maternity and Paternity Benefits

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