Senior Associate - Credit Risk Modelling - Banking

SA - 4-6 years experience

Manager - 6 - 10 year experience

We are looking to expand the Banking team in our Mumbai office to advice leading banking groups on a wide variety of risk, value and capital management issues in the

UK. These include:

- Credit risk modelling including IRB modelling

- IFRS9 provision modelling

- Credit risk stress testing

- Model validation and assurance

- Model governance and review

About the role :

The role will involve working with our existing team of approximately 60 banking model specialists to build on our current portfolio of projects in credit risk modelling and validation and increase our capacity and offering in the area of credit risk stress testing. This will include:

- Performing a specialist review and audit of IFRs 9 credit risk models for our banking clients in the UK.

- Providing advice to banks relating to future generations of IFRS 9 models and IFRS 9 forecasting.

- Advice and support in relation to IRB capital models - providing model development services, performing CRR (capital requirements regulation) attestations, and advising our clients as they develop IRB capital models for the impending regulatory changes.

- Support to Model Validation teams - carrying out end-to end model validation activities for all kind of models - IFRS 9, IRB, Market Risk, and Algorithmic models. This will include assessment of conceptual soundness, challenging underlying assumptions, validating data and assessing limitations of the models, performing quantitative testing in SAS/R/Python/SQL, and delivering exhaustive reports.

- Advising our clients on credit risk stress testing modelling approaches including various econometric modelling techniques.

- Interaction with stakeholders including credit risk managers, model development teams, and internal stakeholders.

- Helping to develop our internal IFRS 9 and IRB banking propositions to take to market.

- Maintaining an up-to-date view of regulatory and industry developments in relation to credit risk regulatory capital modelling, IFRS 9 modelling and credit risk stress testing modelling, sharing this with the wider team and maintaining leading edge best practice in work performed.

Essential Experience:

- Years of Experience required: 3-4 years

- Strong general knowledge of credit risk concepts.

- Experience with at least one of the following (or similar): SAS, SQL, R, Python

- Experience in credit risk modelling across Retail or Wholesale portfolios.

- Knowledge of SR 11-7 regulation by the US Federal Reserve and the IFRS 9 Standard by IASB.