Subject Matter Expert - Credit Risk Modelling & IFRS9

Highlight of the engagement opportunity

Nature of role: Full time

Number of years of experience expected: 6-12 years

Areas of past experience preferred: IFRS 9/ IndAS 109, PD / LGD/ EAD model development and validation, experience with ECL calculation, clarity on the IFRS 9 standard and regulatory asks

Educational qualification expected: Graduate/ Postgraduate

Additional qualifications/ certifications required: None

Preferable additional certifications: CA / FRM / Actuarial

Preferred geography of previous work experience: India / Europe / APAC / US

Language requirements: Ability to write and speak fluently in English

Application experience preferable: MS Excel, VBA, Python, R, SAS

Key responsibility areas:

- Independently lead and manage consulting engagements with leading banks, financial institutions, NBFCs, insurance companies and corporates covering areas such as IFRS 9 model development, ECL computation, enhancing the approach to ECL and provisions along with other credit risk areas

- Demonstrate knowledge to banking, NBFC, corporate and insurance companies on various loan product and their characteristics including wholesale loans, auto loans, personal loans, mortgage finance, education loans, etc.

- Demonstrate knowledge of concepts related to default and recovery rate modelling including roll rate analysis, periodic default rates, statistical methods including regression models, Markov chains, etc.

- Lead and drive day-to-day execution of client projects.

- Lead hiring and mentoring initiatives to expand and upskill execution and delivery team for engagements

- Design and monitor detailed project plans for assigned engagements

- Directly report and provide detailed updates to business unit leader for all assigned engagements on an on-going basis

- Lead and actively participate in designing proposals, RFP responses and pitches for business development pursuits

Preparation required:

It is recommended that you prepare on the following aspects before the selection process:

- Understanding of products / exposures in the financial services industry (Banks / NBFC / Insurance)

- Demonstrate knowledge about credit risk modelling, PD, LGD, ECL, etc.

- Demonstrate experience of various methodologies used for modelling default rates, credit scores, recovery rates, etc.

Selection process:

We seek to be transparent during the selection process. While the actual process may vary from the process indicated below, the key steps involved are as follows:

- Interview: There are expected to be at least 2 rounds of interviews. The number of interview rounds may increase depending on the criticality and seniority of the role involved.

- Final discussion on career and compensation: Post final selection, a separate discussion will be set up to discuss compensation and career growth. You are encouraged to seek any clarifications you have during this discussion.