Posted By

Jacklin Denzel

Senior Staffing Specialist at Hipos Consulting Services Llp

Last Login: 29 May 2024

Job Views:  
217
Applications:  47
Recruiter Actions:  11

Job Code

1413669

Team Member - Credit Risk Specialist - BFSI

3 - 8 Years.Mumbai/Thane
Posted 1 month ago
Posted 1 month ago

Team Member - Credit Risk Specialist


ECL Calculation of Provision:

- Application of various Board approved policies at a portfolio level with LAN level which is audited every month and has to be delivered error free in time bound manner.

- ECL Modeling & Documentation

Data Preparation:

- Process, cleanse, and verify the integrity of data used for the analysis.

- Utilizing graduate-level research and analytical skills to perform data extraction, sampling, and statistical analyses.

Design Methodology:

- Design the methodology to be used for the development of the PD models and LGD models.

Model Development:

- Development of Probability of Default models used in the computation of ECL

- Development of the Loss given default models used in the computation of ECL for secured and unsecured portfolios

- Efficiently design and produce programs to streamline and create repeatable procedures for model development, validation and reporting

- Monthly updating of the model.

Model Validation:

- Test and validate statistical models for the entire product suite.

- Perform Back testing and sensitivity analysis on the models developed.

Documentation: - Responsible for the documentation of PD and LGD models

Statutory Audit Closure:

- To address the audit query raised by Auditors

- Prepares Audit templates

- To assist team leader in closing of quarterly audit.

ICAAP Modeling:

- Responsible for enhancing and developing the Internal Capital Adequacy Assessment Process (ICAAP). This involves stress testing of risk in excess of requirement including credit risk, liquidity risk, IRBB, operational risk and strategic risk.

- Design, develop, test and validate statistical models for the entire product suite.

- Responsible for the documentation of ICAAP.

- Preparation of Dashboard for quarterly monitoring of ICAAP.

- Knowledge of Basel and RBI guidelines with respect to stress testing.

Enterprise Risk:

- Helps in preparing and closing calculation of Enterprise risk basis multiple risk parameters.

- Need to prepare and analysis parameters such as:

- Credit risk

- Cybersecurity and IT risk

- Fraud risk

- Liquidity and interest rate risk

- Market risk

- Operational risk

- Outsourcing risk

- People risk

- Reputational and compliance risk

ECL Validation:

- Establishing policies and procedures which set out the Accountability and reporting structure of the model validation process.

- Internal rules for assessing and approving changes to the models

- Reporting of the outcomes of the model validation

- Excel Automation of Provisioning report

To present various analysis across Portfolios of the following:

- Loan Book Movement

- Stage Movement

- ECL Charge

- Provision Coverage

- PD Analysis

- LGD Analysis

- Budget Preparation

- IGAAP vs ECL comparison

- Restructured Data Analysis

- DPD movement

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Posted By

Jacklin Denzel

Senior Staffing Specialist at Hipos Consulting Services Llp

Last Login: 29 May 2024

Job Views:  
217
Applications:  47
Recruiter Actions:  11

Job Code

1413669

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