IFRS9 Model Development/Model Validation Role - BFSI

Role and Responsibilities will include most of the following:

- Hands-on experience of working in the IFRS9/IRB/CECL model development/validation.

- Deep understanding of IFRS9/IRB/CECL regulations

- Expertise in at least one of SAS, Python or R

- Key engagement responsibilities would be:

- Model development/validation/audit/review primarily for one or more credit loss forecasting models in either retail or wholesale domain primarily for IRB models as well as for IFRS9/CECL/CCAR reporting including PD/EAD/LGD component models. Validation process involves understanding of the relevant regulatory requirements, development document, testing and benchmarking using SAS, R or Python and report writing.

- Assist with other model development/validation activities in Underwriting scorecard, Credit Scoring, behavioral models, economic scenario models or automation activities related to validation when required

- Model validation including assessing conceptual soundness, critical assessment of the testing performed by the model developers to support the integrity and accuracy of the model implementation and its fit-for-purpose, designing to evaluate the model's predictive power and its robustness uncertainty through the development and use of alternative benchmark models and compliance assessment against the relevant regulatory standards

Qualification Required:

- A degree in engineering, Statistics or Econometrics or a related discipline; an M.Stat is preferred