Credit Risk Modelling- Senior Manager/ Associate Director

2 weeks ago

Bengaluru Delhi Mumbai NCR, India Pylon Management Consulting Full time US$ 1,04,000 - US$ 1,30,878 per year

Role Overview

We have a challenging opportunity for the aforementioned roles in our Financial Services practice. The person will focus on Indian and global clients, work in a client-facing role, and take on the responsibility of delivering and leading projects around Credit risk analytics and or providing a single point end-to-end accountability for the project oversight, establish a working relationship with the internal and external stakeholders. In line with the increasing regulatory requirements within different aspects of Enterprise Risk Management, the candidate would support banks in Enterprise Risk Management Support catering to changing regulations, review and oversight of credit risk models and with a view to keep its existing ERM framework in speed with the regulatory requirements and long term strategy of the bank.

Key Responsibilities

  • Preforming Risk Analytics activities to develop models and support the bank on various analytical initiatives
  • Assist in modeling key risk estimates PD, LGD and EAD for AIRB and IFRS9 framework
  • Regularly engage in model development, validation, and re-development activities
  • Other risk analytics activities include assisting in review and re-development of Macro-Economic Model, RAROC Calculator Risk Adjusted Return on Capital
  • Period reporting (internal & regulatory) of various Risk Metrics
  • Engage in model risk management activities

Desired Profile

  • Postgraduate with 7-10 years of experience in the Banks, NBFCs, consulting firms

  • Certificates like CFA, FRM, CQF

  • Should be proficient in MS Excel and PowerPoint

  • Excellent knowledge of SAS, R, Python.

  • Should have excellent communication skills (oral, written, and email drafting skills)

  • Good organizational, analytical, problem-solving, and project management skills

Technical Knowledge

  • Understanding and experience in credit risk function, specifically retail models.

  • Understanding of banking products, operations, and strong knowledge of Basel and IFRS 9 regulatory landscape and regulations in risk, capital, operation, and compliance. Prior work experience with regulators in India and Middle East (RBI, CBUAE, SAMA etc.) is preferred

  • Deep understanding and strong knowledge of SAS/R/Python

  • Understanding of retail banking, corporate banking, capital markets, trading, and other financial services.

  • Individual must have experience in IFRS9, Basel II, III and IV Standardized and Advanced approaches, BCBS, ICAAP, Stress testing, Scorecard development, policies/ procedures, system implementation, etc.

  • Experience in developing PD, LGD, EAD and CCF models for banks and financial institutions

  • Experience in statistical methods such as logistic and Probit regressions

  • Experience in macroeconomic model development and stress testing

Key Personal Attributes

  • A good blend of creative thinking and rigorous analysis in solving business problems

  • Strong communication, facilitation, relationship-building, presentation, and negotiation skills

  • Must work well in a team-oriented environment as well as independently. Work with team members to set goals and responsibilities for specific engagements. Foster teamwork and innovation.

  • Ability to work under pressure. Mature, proactive, and displays initiative. Manages own and others' time well.

  • Good oral and written communication skills including documentation of findings and recommendations. Adept at preparing and presenting reports to an audience.

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