Capital Model Risk Analyst For NBFC

4 days ago

Pune, Maharashtra, India Skill Ventory Full time

Roles and Responsibilities

Risk Management is core to Bajaj Finance. Most of the decisions in Risk Management are data driven and analytical. Statistical models are required to look at multi-variate dimensions from a risk perspective including calculating the expected , Unexpected credit loss, scenario analysis, forecasting etc. Statistical models are built and scorecards are prepared which assesses parameters like PD (probability of default), EAD and LGD which are critical from a regulatory perspective and forms important aspect of regulatory reporting purpose.

This role gives an opportunity of going beyond the above and gives deeper insights on the Regulatory norms on Credit Risk. The role allows candidate work on areas such as Capital Models, Macro Economic stress, Macro stress models/forecasting etc.

Understanding the current Capital Model framework and evaluation against the regulatory guidelines

Analyse the data sets to be used for Capital Modelling. Involves data cleaning and making the model ready datasets.

Build, monitor, validate and track Regulatory PD, Regulatory LGD, Regulatory EAD models for Capital Computation as per BASEL II,BASEL III guidelines

Model Execution on monthly basis, performing data consistency and model parameters

Support any adhoc deep dive data analysis on portfolio metrices

Ongoing liaising with IT, Finance and BIU teams to ensure all policies, processes, data flow are working efficiently, and all required changes are build and implemented suitably

Work Experience

1-4years relevant analytical experience in Basel Model development, ML modelling, Forecasting, Segmentation and Clustering.

Preferred Coding languages: SAS, SQL, R, Python.

Classical statistical techniques:Regression, Logistic regression, Clustering, Dimensionality reduction techniques, Hypothesis testing.

Experience in handling huge data base and the ability to do root cause analysis.

Individual contributor with the capability to deliver projects within timeline

Effective verbal and written communication skills

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