Model Development Role - Credit Risk - BFSI

This team lead position supports the Credit Risk Modeling, Model monitoring, Market risk Modeling and Implementation and is responsible for people management, model development, model maintenance, back-testing, and monitoring/implementation of probability of default (PD), exposure at default (EAD), loss given default (LGD), borrower risk rating, and stress testing models across Basel, CCAR and CECL (Wholesale and Retail primarily). In addition to this, he will also be responsible to lead the Market Risk Modeling team. He will be a key member of the Model Strategy & Data Analytics Team.

Roles & Responsibilities:

- Leading and managing medium size team. Responsible for all activities of the team, performance, goal, and appraisal

- Building and providing thought leadership across whole sale and retail portfolio for CCAR models and several portfolios of Basel model (PD/EAD/LGD). He will also be responsible for CECL model development, methodology enhancement and execution of models.

- Resolve complex issues in credit risk rating models PD/EAD/LGD used in the calculation of economic and Basel capital, allocation of capital for performance measurement, and other aspects of credit risk and market risk. CCAR credit loss modelling experience for whole sale and retail and CECL in very deep

- Take part in the line of business discussions to gain insight into business judgment and providing thought leadership CCAR models, PPNR and several portfolios of Basel model from model monitoring and implementation perspective. Well aware about different key metrics like GINI, KS, PSI/CSI, statistical tests and results.

- Can supervise market risk modeling (VAR, FRTB, PFE, Pricing and valuation models) work as well

- Ensures regular production of model development, analytical work and reports. Acts as an important contact for credit risk models with regulators, Internal Audit Department, and Model Validation Group.

- Works with senior team members to evaluate existing processes in relation to corporate objectives and industry leading practices. Assess development needs and manage process to achieve desired future state.

- Supports internal risk rating system. Ensures that the risk rating system framework meets needs of internal constituents and regulatory requirements. Help in enhancing the process, automation and provide the industry view

- Helps to resolve credit risk issues and enhance overall credit risk framework. Works with Credit Risk Management Group to ensure that risk management policies/processes and quantitative modeling approaches are consistent.

- Contributes to communication and training efforts to promote understanding of credit risk management throughout the company.

- Ensures that risk rating models meet both internal corporate needs and regulatory requirements related to Basel II and successfully drives the model monitoring team

- Participates in developing, implementing and monitoring risk rating models. Perform Back testing when requires

- Responsible for direct interaction with various committees and/or management