Assistant Vice President at Yes Bank Limited
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Yes Bank - Senior Manager - Model Specialist - Risk Management - Credit Risk Control Unit (2-5 yrs)
Role: Model Specialist-Risk Management
Location - Mumbai
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
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