IRB Wholesale Model Developer - Credit Risk - BFS

Locations:

Mumbai , Pune, Bangalore

Minimum Experience:6

Maximum Experience:15

Skill Set: wholesale/LDP credit portfolios

Skill to Evaluate: Model-Development,Credit-Risk,IRB-Model,Wholesale-Portfolios

Experience:

6 to 10 Years

Location: Mumbai / Pune / Bangalore

Job Description

Job Overview:

We are seeking an experienced Lead Model Developer with exceptional expertise in credit risk modeling, especially the wholesale portfolio (banks, corporate, specialized lending, real estate, non-banking). The ideal candidate will bring deep domain knowledge and advanced technical skills to drive sophisticated credit risk modeling initiatives across wholesale portfolios.

Position Details:

Location: Pan India

Experience Level: 6 years

Employment Type: Full-time

Key Responsibilities:

- Lead end-to-end development of advanced credit risk models, including PD, EAD, LGD models compliant to IRB Standards

- Conduct comprehensive data preparation, preprocessing using tools including SAS, Python, R, and SQL

- Design, build, calibrate and implement robust credit risk models across wholesale portfolios with rigorous User Acceptance Testing (UAT)

- Collaborate with cross-functional stakeholders to analyze, interpret, and communicate complex model results and insights

- Develop comprehensive technical documentation including:

- Model documentation

- Business Requirements Documents (BRD)

- Validation reports

- Regulatory compliance documentation

- Drive continuous model improvement through:

- Identifying optimization opportunities; Implementing advanced modeling techniques; Enhancing model performance and predictive accuracy

- Provide mentorship and technical guidance to junior team members, fostering a culture of knowledge sharing and professional development

Required Qualifications:

- 6 years of hands-on experience in credit risk model development

- Proven expertise in modeling across wholesale/LDP credit portfolios

- Advanced proficiency in: SAS, Python, R, SQL

- Strong knowledge of capital models (IRB approach)

- Good to have a understanding of IFRS9 and CECL regulatory frameworks

- Exceptional analytical and problem-solving skills

- Excellent written and verbal communication abilities

Preferred Qualifications:

- Advanced degree in Statistics, Mathematics, Economics, or related field

- Professional certifications in risk management or financial modeling

- Experience with machine learning and advanced statistical modeling techniques

- Knowledge of Basel regulatory requirements

Technical Skills:

Model Development: PD, LGD, EAD

Programming: SAS, Python, R, SQL

Regulatory Knowledge: IRB (must), Good to have (IFRS9, CECL)

Data Preprocessing / Statistical Modeling / Machine Learning Techniques

Education Qualification:

Advanced degree in Statistics, Mathematics, Economics, or related field