EY - IFRS9 Model Development Role - Business Consulting Risk (2-8 yrs)
IFRS9 Model Development- Business Consulting Risk - FS - FSRM - Multiple Locations ( Bangalore, Pune, Mumbai, Kolkata, Delhi, Gurgaon )
Our Financial Services Risk Management (FSRM) practice focuses on risk management, regulatory, quantitative, and technology backgrounds. The breadth of experiences of FSRM professionals enables the practice to coordinate the delivery of a broad array of risk management services to capital market participants throughout the world in a well-integrated manner.
The opportunity :
Our FSRM team is a fast-moving, high-growth area with huge potential. It offers variety, challenge, responsibility and the opportunity to realize your leadership potential.
Your key responsibilities :
- Develop, enhance and maintain IFRS9 models, governance framework and model risk management framework for entire retail portfolio.
- Drive Expected Credit Loss (ECL) computation that is necessary for the impairment reporting of assets classified as amortized cost and fair value through other comprehensive income.
- Liaise with business, project teams, auditors and validation teams to develop and determine the impairment
- Analyse data and perform back-testing/stress-testing of the IFRS 9 models to measure the model performance.
- Identify the model risk and provide solution and recommendations to the stakeholders; influence stakeholders to close the gaps in the recommendation.
- Perform risk analysis and risk identification of all processes conducted in the IFRS 9 ECL computation according to guidelines under the Bank-wide Risk Framework.
- Define new controls and key control indicators of relevant processes and remedial actions in case of ineffectiveness of existing controls.
- Prepare IFRS 9 model pre-implementation assessment reports for board submission and monitor all outstanding matters in the validation and report to the board. Extensive coordination and communication with all parties involved.
- Develop credit risk models from a quantitative perspective viz., acquisition, behaviour, customer level scorecards, maintenance of credit scoring models/assessment tools, strategies and capital estimate modeling of PD, LGD and EAD that apply to retail portfolios across life cycle.
- Validate and if required, refine existing models for Retail Products based on the validation results.
- Manage interface with regulators, external and internal auditors in relation to models in use and validation.
- Provide support to Impairment committees and relevant meetings coordinating agenda, presentation packs and preparation of minutes.
- Oversee and coordinate submission of documents to both Internal Audit and External Auditors and ensure action plans address audit issues raised and are closed on a timely basis.
- Perform maintenance and changes of policies and documentation Set, establish, and deliver on multiple priorities in a timely manner.
- Develop training materials, Conduct training sessions for business.
- Contribution to the formulation of a successful growing team and perform other duties as assigned.
To qualify for the role you must have:
- Degree(s) in a quantitative discipline such as Mathematics, Statistics or Econometrics
- Knowledge of Statistical tools namely SAS, Python, R for 2+ years
- Should have experience in statistical techniques like regression, time series, forecasting and predictive analytics - Experience in quantitative finance
- Strong knowledge of statistics
- Strong written and verbal communication skills
- Knowledge of relevant regulatory guidelines for CCAR, IFRS9 and IRRBB.
- Knowledge of SQL
What working at EY offers :
- EY is committed to being an inclusive employer and we are happy to consider flexible working arrangements. We strive to achieve the right balance for our people, enabling us to deliver excellent client service whilst allowing you to build your career without sacrificing your personal priorities. While our client-facing professionals can be required to travel regularly, and at times be based at client sites, our flexible working arrangements can help you to achieve a lifestyle balance.
About EY :
As a global leader in assurance, tax, transaction and advisory services, we're using the finance products, expertise and systems we've developed to build a better working world. That starts with a culture that believes in giving you the training, opportunities and creative freedom to make things better. Whenever you join, however long you stay, the exceptional EY experience lasts a lifetime. And with a commitment to hiring and developing the most passionate people, we'll make our ambition to be the best employer by 2023 a reality.
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