Credit Risk Modelling Expert

2 weeks ago

Chennai Tamil Nadu, India Expleo Full time

Overview:
Credit Risk Models Expert

**Responsibilities**:

- Lead the **design and execution of model testing strategies** for PD, LGD, and EAD models across retail, SME, and corporate portfolios.
- Build and manage a **testing framework** including input validation, model recalculation, performance tracking, stress testing, and documentation.
- Collaborate with model developers, business teams, auditors, and regulators to ensure transparency and alignment with risk and capital objectives.
- Interpret model outputs and translate complex statistical results into business-friendly insights and recommendations.
- Review and sign off on model validation reports and model performance dashboards.
- Support internal and external audits (e.g., SARB, internal audit, regulators) with detailed technical documentation and evidence.
- Ensure **ongoing compliance with Basel AIRB, IFRS 9, and ICAAP requirements**.
- Stay updated with regulatory changes, industry trends, and best practices in risk modeling.
- Conduct **peer reviews, mentoring, and training** to upskill team members in model testing and validation.

Qualifications:

- Certification in FRM/PRM/CQF is a plus.
- Experience with **data governance, risk data aggregation (BCBS 239)**.
- Familiarity with **machine learning techniques** in credit modeling is desirable but not mandatory.

Essential skills:
Expertise in Credit Risk Models

Desired skills:

- Master’s degree or PhD in **Statistics, Econometrics, Quantitative Finance, Mathematics, or related field**.
- 15+ years of experience in **credit risk model development, validation, or audit** within a banking or consulting environment.
- Deep knowledge of **Basel II/III**, **IFRS 9**, **IRB models**, and **capital adequacy frameworks**.
- Proficiency in model validation methodologies (discriminatory power, calibration, backtesting, sensitivity analysis).
- Hands-on expertise in **Python, R, SAS, SQL**, and/or model risk management platforms (e.g., Moody’s RiskAuthority, SAS IRM).
- Strong understanding of banking products and exposure types: loans, overdrafts, credit cards, guarantees, etc.
- Proven experience in **regulatory and stakeholder engagement**.
- Excellent **analytical, leadership, and communication** skills.

**Experience**:
15+ years

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