Location: Bangalore

Experience: 5 to 8 years (3+ years relevant exp) Lead Expert

Experience: 9 to 13 years (5+ years relevant exp) - Consultant Expert

About the Role:

We are looking for experienced professionals in Model Risk Management (MRM) to join a high-performing risk team responsible for the validation, monitoring, and governance of credit risk and regulatory models. The role offers exposure to a wide range of risk models across retail and wholesale portfolios, regulatory frameworks, advanced analytics, and model governance processes. This is an excellent opportunity for professionals passionate about risk analytics, model validation, and regulatory compliance within the banking and financial services industry.

Key Responsibilities:

- Perform end-to-end model validation and review activities in line with approved validation frameworks.

- Assess and challenge model methodologies, assumptions, design, calibration, and performance.

- Conduct quantitative analyses including backtesting, benchmarking, sensitivity analysis, and performance monitoring.

- Evaluate model compliance with regulatory requirements and internal governance standards.

- Review and validate credit risk models including PD, LGD, EAD, CCF, stress testing, and IFRS 9 models.

- Analyze model performance using metrics such as ROC/AUC, KS Statistics, Gini Coefficient, Accuracy Ratio, and related measures.

- Prepare validation reports and communicate findings to key stakeholders and governance forums.

- Monitor corrective actions and ensure adherence to model governance standards.

- Interact with model development teams and business stakeholders across various functions.

- Mentor junior team members and contribute to continuous process improvements.

Required Skills:

- Strong experience in Credit Risk Model Development, Validation, or Monitoring.

- Hands-on experience with:

1. PD (Probability of Default)

2. LGD (Loss Given Default)

3. EAD (Exposure at Default)

4. CCF Models

- Good understanding of:

1. Basel II / Basel III Frameworks

2. IRB Models

3. IFRS 9 Requirements

- Experience in model monitoring, backtesting, benchmarking, and sensitivity analysis.

- Knowledge of statistical techniques used in model validation and performance assessment.

- Strong analytical and problem-solving skills.

- Excellent stakeholder and communication skills.

Preferred Skills:

- Exposure to Market Risk Models such as:

1. VaR

2. SVaR

3. FRTB

4. CVA

5. EEPE

6. SIMM

- Experience with Machine Learning Model Validation.

- Project Management experience.

- Experience presenting findings to senior stakeholders and governance committees.

Technical Skills:

- Python or SAS or R Programming.

- Risk Analytics.

- Statistical Modeling.

- Model Validation Techniques.

Educational Qualifications:

- Master's Degree / Post-Graduation in:

1. Statistics

2. Mathematics

3. Economics

4. Engineering

5. Quantitative Finance

6. Related Quantitative Discipline

- Additional certifications in Credit Risk Modeling, Machine Learning, or Financial Risk Management will be an advantage.

Preferred Industry Background:

- Candidates from Banking, Financial Services, Investment Banking, Risk Consulting, Credit Risk Analytics, and Regulatory Risk Management environments are encouraged to apply.