Senior Credit Risk Modelling Analyst

4 weeks ago


PuneMaharashtra, India Solytics partners Full time

**About Us**


Solytics Partners provides consulting and solutions to banking, capital markets, asset management, and insurance firms.


We leverage a combination of deep domain knowledge, advanced analytics, and technology to provide accelerated and efficient services and next-generation solutions.


**Our Team**


Our team of senior consultants comes with significant global experience in key markets and advanced degrees in STEM.


Our regulatory-compliant solutions and services enable leading financial institutions and corporations to create and sustain competitive advantage.


**Job Summary**


A Credit Risk Modelling Analyst will be responsible for managing the model implementation cycle (from design, implementation, monitoring to demise) of credit risk and IFRS9 models covering large corporates, mid-market, and SME portfolios, along with banks/FIs and sovereign portfolios.


This role is part of the wholesale credit risk modelling team, which is a part of the risk management function.


**Key Responsibilities**


Model Development and Validation


Involve in model development, model validation, model recalibration, and monitoring model documentation and maintain the risk model inventory.


Perform these activities on the MRM framework for corporate BASEL and IFRS9 models.


Lead Credit Scoring Modelling Exercise


Lead credit scoring modelling exercise with applicable compliance to regulations.


Implementation and Enhancement of ECL Models


Implementation and enhancement of ECL models based on internal enhancements, BASEL or Saudi Central Bank regulatory stipulation.


Collaboration and Data Analysis


Working closely with BA's and system owners for model development.


Strong understanding of data analytics and enterprise-level data architecture, which is used to consolidate model development and model monitoring information.


Support Business Reporting and Analytics


Support business reporting and analytics function in generating bespoke reports from credit approver and rating system.


Requirements


2-6 years of experience in model development/model validation and model management.


Understanding of stress testing/sensitivity testing.


Experience in risk requirements as related to scorecards and IFRS9/CECL/AIRB.


Strong understanding of credit risk and model development.


In-depth knowledge of model development and validation, including data extraction and pre-processing, modular model development, user acceptance testing, and model performance assessments of:


IFRS9 Models


Staging, PD, EAD, LGD.


Risk Scorecards and Frameworks


Large corporates, mid-market, and SME portfolios.


Credit Decisioning and Early Warning Risk Models


Good programming skills in SAS.


Transferrable knowledge from R or Python.


Knowledge of SAS EG and ECL will be an added advantage.



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