Manager - Wholesale Credit Risk Modeling - Banking

Opportunity with one of the banking major for Bangalore.

Experience in IFRS9/ IRB/ AIRB

Any Programming Language exp.

Wholesale portfolio exp. is must

RESPONSIBILITIES

Strategy

- Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the Corporate, Institutional, and Commercial book

- Continuously improve the models- performance and research on the latest modeling methodology and best industry practices, while meeting all regulatory and data constraints.

- Work on the end-to-end model development (PD, EAD, LGD) cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders

- Maintain and continue to upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.

Business :

- Ensure the model outputs are fit for purposes not only for regulatory capital and ECL estimates but also for daily business usage, underwriting decisions, risk appetite decisions and strategy design.

Processes :

- Participate in relevant model implementation and its user acceptance test to ensure models are appropriately implemented not only within the direct system environment but also its relevant downstream environments.

People and Talent :

- Lead through example and demonstrate the bank's culture and values.

Risk Management :

- Understand Model related uncertainty risk such as data, regulatory, business strategy, that have a direct impact on the model's performance.

Governance :

- Ensure the modelling process and models meet the Model Risk Policy and Model Family Standards.

- Provide timely and high-quality responses to both internal and external queries and requests.

Regulatory & Business Conduct ;

- Display exemplary conduct and live by the Group's Values and Code of Conduct.

- Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.

- Be compliant to home and host regulatory requirements on modelling

Key Stakeholders:
 
- Group Model Validation, Model Sponsors and Owners, CIC Business & Credit, Model Risk Management