IndusInd Bank - Senior Analyst - Credit Model Governance/Development/Calibration & Testing

Job Title: Sr. Analyst (Credit Model Governance, Development and Calibration/ Testing)

Department / Function : Risk Management

Location - Mumbai

Position - AVP / DVP

Job Responsibilities :

- Ensure credit rating/ scoring models development/enhancement through statistical techniques and data analysis based on Bank's Strategy for new businesses

- Demonstrates usage of Corporate or Retail data analytics to utilize the same in decision making

- Reviewing changes based on the validation exercise - internal and external

- Responsible for overall computation of Expected Credit loss of the Bank - monitoring and reporting

- Adoption of Policy framework and computation of Expected Credit loss parameters

- Probability of Default (PIT PD using Markov chain/Vasichek model/Behavioural model/Roll rate model/ Best estimates model/Low default portfolio model)

- Loss Given Default (Work out LGD/ Basel IRB LGD / Best estimates LGD etc.)

- Exposure at Default (Cash Flow based/ Straight line amortization/ CCF basis for NFB etc.)

- Expected Credit Loss computation for financial instrument and Investments

- Determination and implementation of Staging Criterion (Rules based criteria for Stage 1/2/3 classification of financial assets) for various

- Liaising with Tech partner, Vendor, etc. to compute ECL through system implementation

- Coordinate closely with Business and Operations and Finance dept. to ensure that standards are being complied - on the emerging changes in the portfolio for any realignment or re-balancing.

- Building and development of Risk based and Behavioral models for new portfolios and monitoring

- Evaluation, Testing & Recalibration and on-going maintenance of existing models

- Ensuring data capturing, data completeness, data integrity and data quality

- Back testing and Validation of Rating and Scoring models and proposing suitable enhancements

- Knowledge of risk management and measurement techniques

- Market segment analysis to highlight any outliers

- Ensure credit risk compliances and regulatory guidelines

Key Skills :

- At least 4 years in Credit Risk Models and ECL computation experience in any form in Bank or reputed NBFCs

- Good knowledge of IND AS regulations - BASEL/IFRS/RBI etc.

- Knowledge of using SAS/Python/R and other analytical software in data analysis, modeling, and reporting will be a benefit

- Strong knowledge and experience with statistical modelling, scorecard building, Logistic Regression, Linear Regression, Factor Analysis, Decision Trees etc.

- Demonstrated ability to communicate effectively with both technical and non-technical stakeholders in both presentation and verbal communications.

- Proven ability to work in teams and manage projects and deliver business results in a rapidly changing and cross-functional matrix environment.

Other Specifications:

- Educational Qualification: CA/ MBA from reputed institute / FRM / Masters or equivalent degree in a quantitative discipline such as Statistics, Mathematics, Quantitative Finance or Economics

- Experience: Minimum 6 or more years of relevant experience (upto 12 years)