Senior Manager - Credit Risk Modelling - Banking

- Implementation of Advanced Approaches under Basel II (Internal Model Validation, Reviewing and Improving Documentation/Policies, Computation of IRB estimates such as PD, LGD and EAD)

- Management of the Credit Rating models and Internal Model Framework including rating models and scorecards

- Act as interface between system users, Technology team & vendor, ensure timely identification and resolution of system errors, Comprehensive testing of system enhancements including bug fixing, Improving Data Quality in the systems

- Compute Expected Credit Loss (ECL) under IndAS framework.

- This will involve developing framework for Staging of assets, estimation of forward looking PDs, computation of Lifetime ECL, incorporation of macro-economic variables etc.

- Playing critical role in Risk Based Supervision (responses, closing gaps if any)

- Educational Qualifications: Bachelor's/Master's