Director - Risk Analytics & Modelling - NBFC

Position: Head- Risk Analytics and Modelling

They are looking to hire an experienced, innovative, passionate and knowledgeable candidate as - Head - Risk Analytics and Modelling- to lead a high performance team and deliver data-driven business-decision oriented risk analytics and modelling. The team uses borrower and loan performance data from retail and wholesale plain vanilla and structured finance portfolios across multiple asset classes - including but not limited to- microfinance, small business loan, housing finance, vehicle finance and agriculture-allied finance as well as corporate finance sector. Such analytics and modelling is done at a transaction/portfolio level.

Key Result Areas

- Managing and further building a high performance risk analytics and modelling team focused on innovation to deliver relevant business-decision oriented risk analytics and reporting

- Enhancing the existing framework and evolving the estimation of economic capital and value-at-risk for taking into account various risks and managing this proactively as the portfolio and business evolves

- Evolving a robust stress testing framework and continuously developing tools and perform stress testing at pool, transaction, and portfolio level to estimate the worst case losses and assess possible risk mitigation (such as credit enhancements)

- Further build the capability of the team in portfolio analytics and to analyse the granular loan level performance data to get insights into the borrower credit behaviour and share findings in the form of reports, views and special maps with internal and external teams

- Manage portfolio analytics and other analytics advisory engagements and ensure timely execution and high quality deliverables for partner NBFCs, Financial Institutions, regulators and other entities to create a differentiated market position

- Design and drive research on questions related to risk management and financial access for low income households and enterprises based on performance data of own portfolio, data subscribed from credit bureaus and other sources to consolidate position thought leadership in these sectors

Key Responsibilities

Portfolio Risk Management

Risk Management

- Manage the risk, performance and exposure measurement of the existing portfolio - consisting of plain vanilla term loans, structured finance transactions, guarantees, risk participation and other funded and unfunded credit exposures as well as a nascent retail portfolio- consisting of microfinance, SBL loans originated directly on book

- Oversee the performance management team to measure the risk and performance of underlying loans in structured finance transactions and direct origination

- Continually work on the development of new models and the maintenance and improvement of existing models for risk and performance measurement

Transaction Management

- Oversee the team:

Managing the risk estimation and evaluation of proposed structured finance transactions

Managing the repository of structured finance transaction structures, original excel models and legal documents of all settled transactions and the process of reconciling structured finance transactions - the collections on underlying portfolio, pay-in to the SPV and payouts to the investors

Revising future cash flows of pools and transaction cashflow to investors for securitization and other structured finance transactions on a periodic basis

Managing the relationship with the Trustee, Originators-cum-Servicers and Investors on issues related to the collections and payments pertaining to the structured finance transactions

Managing the pool maturity, pool clean up and transaction maturity for all structured finance transactions with the Trustee

Managing the risk, performance and exposure reporting framework for daily, weekly, monthly and quarterly reporting to various stakeholders including but not limited to- credit committee, risk committee, board of directors, other teams, rating agency, and regulatory bodies

Managing the ad-hoc reporting requirements from various stakeholders including but not limited to originators, servicers, trustees, lenders, investors, rating agencies and regulators.

Data Analytics

- Develop statistical and machine learning models to identify credit drivers and formulate business strategy such pool selection criteria, quantifying the required credit enhancement and origination strategy

- Guide the Risk Analytics and Modelling team to adopt cutting age data analytics tools and technology to build more efficient models

- Ensure high quality data management of loan performance, borrower and originator data of own portfolio, and from other sources using appropriate database resources

Risk Mitigation - Product Development

- Collaborate with structuring team and other internal team members to develop innovative financial structures to allow efficient risk transfer from borrowers to risk aggregators and in turn offer affordable finance to borrowers and desired risk-return to investors as well as to improvise existing structures to deliver better value to clients

- Develop, implement and maintain internal rating models to provide risk based rating of transactions

Research

- Design and drive research on questions related to risk management and financial access for low income households and enterprises based on performance data of own portfolio, data subscribed from credit bureaus and other sources

- Document, publish, present and share the research in the form of research papers, articles, blogs, conference papers and presentations

- Collaborate with other team members to share understanding of the risk in sectors we work in with external stakeholders

Essential Skills and Experience

The successful candidate

- Must be passionate about managing, mentoring and developing a high performance risk analytics and modelling team, while possessing the personal qualities and skills to foster an innovative, forward looking, collaborative and cohesive team culture

- Will hold a Doctoral or Master's degree in a quantitative field such as statistics, econometrics, economics, mathematical finance, finance, or applied science such as physics

- Should have a minimum of 7-10 years of work experience in Risk Analytics preferably in financial services company in a team lead/team management role

- Must have sound understanding and thorough working knowledge of financial risk management frameworks appropriate for a financial services company

- Must have in-depth understanding of structure finance products such as securitization, CBOs and guarantees

- Must have strong background in probability and statistics

- Must have practical experience of developing and leading a team to develop statistical and machine learning algorithms in R/Stata/Matlab/Python and using SQL

- Should have experience in developing data driven analytics and decision making frameworks from scratch for structured as well as unstructured data

- Must be a person looking to adopt newer technology and advanced analytical concepts for continuous innovation to solve problems and to design better risk management tools

- Must demonstrate high level of oral and written communication skills including but not limited presentations, leading meetings with different stakeholders and reporting to the Risk Committee and the Board of directors

- Must be a problem solver and should be an expert in dealing with ambiguous, amorphous and abstract business problems