Vice President - Credit Risk Modelling - BFS

Looking out candidates for one of the leading company based in Bangalore as VP-Credit risk model development.

This the team lead position supports the Credit Risk Modeling and Quantification team and is responsible for people management, model development, model maintenance, back-testing, and monitoring of probability of default (PD), exposure at default (EAD), loss given default (LGD), borrower risk rating, and stress testing models across Basel and CCAR (Wholesale and Retail primarily). He will also be responsible to lead the CECL (Current Expected Credit Loss). A key member of the Model Strategy & Data Analytics Team.

Responsibilities :

- Building and providing thought leadership across whole sale and retail portfolio for CCAR models and several portfolios of Basel model (PD/EAD/LGD). He will also be responsible for CECL model development, methodology enhancement and execution of models.

- Resolve complex issues in credit risk rating models PD/EAD/LGD used in the calculation of economic and Basel capital.

- Ensures regular production of model development, analytical work and reports. Acts as an important contact for credit risk models with regulators, Internal Audit Department, and Model Validation Group.

- Supports internal risk rating system.

- Helps to resolve credit risk issues.

- Contributes to communication and training efforts to promote understanding of credit risk management throughout the company.

- Participates in developing, implementing and monitoring risk rating models. Perform Back testing when requires

- Responsible for direct interaction with various committees and/or management

- Ph.D.or Master in Statistics/ Economics/Mathematics/advanced degree in quant area

- Or B.tech. From tier 1 college with MBA in related field

- Excellent oral and written communication skills

- Strong CCAR and DFAST, CECL, FRY-14A, SR-11/7 understanding. Experience in Moddy's risk analyst.

- Strong conceptual and technical knowledge of risk concepts and quantitative modeling techniques.

- Technical skills / systems knowledge (e.g. SAS, R, and Advanced Excel) is preferred