IRB Credit Modelling Role - Bank

IRB Credit Modelling

- Our client is one of the leading global banking firms which provides industry-focused services for clients across geographies. We are currently looking for a skilled professional to join their Credit Risk team in Mumbai.

- An Exciting opportunity to work with a South African Bank who is building their captive in Mumbai. They are looking for a keen professional who will be working directly with the Front office team and is excited about their hands-on role into Model Development.

Some of the key responsibilities will include:

- Develop PD, LGD, EAD Models, and support other team members in the development of Credit Models as per IRB Regulatory Requirements.

- Scope model requirements, review data, analyse portfolios, develop models, engage key stakeholders, and create model documentation.

- Conduct annual reviews of models, review model performance, calibrate models, back-test models, and create supporting analysis on models.

- Research, design and implement best practice methodologies for quantifying credit risk in line with Basel 3.1 IRB methodology and PRA Supervisory requirements.

- Proactively engage with Credit and the Business unit to support understanding of Credit Models by providing model training and support.

- Support model implementation within the bank's credit risk framework.

- Resolve ad hoc model-related issues.

To be eligible for this role you will require:

- 8+ Years of relevant experience and Bachelor's/Master's degree in Statistical, Mathematical, Financial, Economics, or STEM subjects with strong academic performance.

- Hands-on modelling experience in model development for PD and LGD models, ideally in the context of IRB in strong regulatory environments.

- Previous hands-on modelling experience, ideally in SQL or Python (or willingness to learn).