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Manager - Credit Risk Modelling - Wholesale Banking (6-8 yrs)
Our client is a Bank and the subject role is part of the Risk Management team. The purpose of Risk Management unit is to ensure sound risk management practices in the organization and meet regulatory requirements. The unit has several deliverables that includes Credit/Market/Operational risk management policy, Central bank reporting, IFRS 9 loss provisioning, Internal risk rating and embedding them in business processes, risk reviews, stress testing etc.
- The Risk Modeling and Analytics function is a part of Risk Management and plays an important role in the advancement of sophisticated credit risk analytics across the entire organisation.
- The main role of the unit is the development and maintenance of credit risk models for wholesale and retail portfolios. These models include, but are not limited to, corporate rating models, retail scorecards, PD models, EAD models, LGD models, IFRS 9 models, Stress Testing and ICAAP models etc.
- These models provide inputs into onboarding decisions, credit pricing, provision requirements and capital computations for regulatory
- The prime responsibility of - Manager - Wholesale Credit Risk Modelling- is to be actively involved in development, validation, implementation, monitoring and maintenance of credit risk models for use throughout the wholesale portfolios of the entire Bank.
- Manage internal implementation of credit risk models in terms of the actual model developed, processes, practices, trainings and any related IT developments that contributes towards their conceptualization, design, and execution.
- The responsibilities will also include supporting wholesale credit risk teams, actively participating in quarterly IFRS 9 runs, managing historical wholesale portfolio data snapshots, supporting regulatory reporting for wholesale portfolios and assisting the stress testing and ICAAP teams by providing relevant data and model execution results
The Key specifications required are as follows :
A] Knowledge Areas
Credit Risk Model Development for Wholesale Portfolios - Corporates, SMEs, Financial Institutions
- Rating Models (Financial, Qualitative and Add-Ons) -- Must
- PD, EAD and LGD -- Must
- Basel II -- Must
- IFRS 9 -- Must
B] Technical / Functional
SAS, Statistics -- Must
Python, R, Advanced Machine Learning Techniques -- Preferable
C] Ability to work across Cross Functional Teams
D] 6-8 years of work experience
E] Professional Qualifications : CA/MBA/CFA/FRM --- Desirable
Educational Qualification : Degree in Math, Statistics, Economics or Engineering --- Essential
Monika
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