Yes Bank - Senior Manager - Model Specialist - Risk Management - Credit Risk Control Unit

Role: Model Specialist-Risk Management

Department-CRCU

Designation-Senior Manager

Exp-2-5 years

Location - Mumbai

Job Description:

The person must have prior experience in developing/validating risk models such as PD, LGD, CCF and internal rating models, preferably in the corporate banking space.

The role will primarily involve developing/testing/validating/refining internal rating models, IRB compliant models for PD/LGD/CCF as well as models associated with developing forward looking estimates compliant with IFRS9/IndAS109 guidelines.

Internal Rating Models/Scorecards; Implementation of Advanced Internal Ratings Based

Approach/Handling Credit Risk related Internal & External Communications

- Implementing and providing support to new credit policies and processes

- Suggest policy enhancements on account of changes in business environment and regulatory changes; updations & improvement in CAM formats, etc

- Handling Queries related to policies and processes

- Conducting training on policy/ regulatory changes & guidelines

- Playing critical role in Risk Based Supervision (responses, closing gaps if any)

- Internal Model Validation, Reviewing and Improving Documentation/Policies, Liaisoning with TSG/Vendor/Consultant for Model Monitoring & related Issues

- Computation of Expected Credit Losses under IndAS

- Management of the Internal Model Framework (Act as interface between system users, TSG & vendor, Ensure timely identification and resolution of system errors,

- Comprehensive testing of system enhancements including bug fixing, Improving Data Quality

- Managing all forms of communication pertaining to Credit Risk with various internal as well as external stakeholders such as Business/Risk Units, Auditors, Regulator, etc