Model Developer - IFRS9

IFRS 9 Model Developer /Immediate Bangalore

Job Purpose :

- Manage, enhance and implement Bank-wide IFRS 9 Models and Assess Risk Appetite for retail portfolio. Review and Create various Risk model and build financial models and recommend remedial actions.

Key Result Area :

- Develop, enhance and maintain Basel models, governance framework and model risk management framework for entire retail portfolio

- Drive Expected Credit Loss (ECL) computation that is necessary for the impairment reporting of assets classified as amortized cost and fair value through other comprehensive income

- Liaise with IT and respective parties to source and determine the data for impairment

- Analyze data and perform back-testing/stress-testing of the IFRS 9 models to measure the model performance

- Identify the model risk and provide solution and recommendations to the stakeholders; influence stakeholders to close the gaps in the recommendation

- Perform risk analysis and risk identification of all processes conducted in the IFRS 9 ECL computation according to guidelines under the Bank-wide Risk Framework

- Define new controls and key control indicators of relevant processes and remedial actions in case of ineffectiveness of existing controls

- Prepare IFRS 9 model validation report for board submission and monitor all outstanding matters in the validation and report to the board

- Extensive coordination and communication with all parties involved

- Develop credit risk models from a quantitative perspective viz., acquisition, behavior, customer level scorecards, maintenance of credit scoring models/assessment tools, strategies and capital estimate modeling of PD, LGD and EAD that apply to retail portfolios across life cycle

- Validate and if required, Refine existing models for Retail Products based on the validation results

- Manage interface with regulators, external and internal auditors in relation to models in use and validation

- Provide support to Impairment committees and relevant meetings coordinating agenda, presentation packs and preparation of minutes

- Oversee and coordinate submission of documents to both Internal Audit and External Auditors and ensure action plans address audit issues raised and are closed on a timely basis

- Perform maintenance and changes of policies and documentation

- Set, establish, and deliver on multiple priorities in a timely manner

- Develop training materials, Conduct training sessions for business

- Contribution to the formulation of a successful growing team

- Perform other duties as assigned.