Team Lead Model Building – Retail Credit Portfolio Risk Analytics

2 weeks ago


Mumbai, India HDFC Bank Full time

Team Lead Model Building – Retail Credit Portfolio Risk Analytics

The role requires a deep technical expertise in credit risk modelling and the ability to lead a team in developing cutting edge models that meet regulatory and risk management needs.

Responsibilities

Lead development of advanced credit risk models for provisioning/capital requirements (IFRS, CECL, BASEL IRB) and internal risk management using statistical, econometric and machine learning techniques

Apply machine learning algorithms and advanced statistical techniques to enhance model performance

Utilise big data tech for data processing and feature engineering

Integrate external data sources to improve model accuracy

Manage team of quantitative analysts providing technical guidance and mentorship

Collaborate with IT and data engineering teams to ensure availability and quality of data for model development

Communicate lucidly model performance and risk assessments to senior management

Regulatory & Stakeholder Engagement

Engage with regulatory/statutory bodies to ensure models meet compliance requirements

Engage with model validation team to meet validation requirements

Qualifications & Experience

Advanced degree in statistics, mathematics, quantitative finance

Proficiency in python, data visualisation, PySpark,

Deep understanding of machine learning algorithms and statistical techniques

10+ years of extensive experience in developing retail credit risk models

Experience in areas of IFRS, CECL , BASEL IRB

Experience in managing and leading team of quantitative professionals

Proven track record of deploying machine learning and advanced techniques in model building



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