Wholesale Model Development Role - BFS

Urgent Job Openings

Location : Bangalore

Roles & Responsibility:

Role will require closely working with the Enterprise Risk Analytics (ERA) team which is responsible for developing and managing wholesale and retail IRB, IFRS 9 and stress testing credit risk models.

Key responsibilities include helping the bank with various aspects of the model development,

model monitoring and enterprise risk analytics

Monitor credit risk IRB and IFRS9 models for the measurement of PD, EAD and LGD for the

bank's wholesale retail portfolios.

Ensure the monitoring process and models comply with the Bank's Model Risk Policy and

Model Family Standards and results.

Work on the end-to-end model monitoring (PD, EAD, LGD) cycle, from data gathering and

cleansing to the documentation and presentations to key stakeholders.

Develop summaries and documentation for PRA regulatory submissions.

Qualification:

Masters /MBA degree in a quantitative discipline - Mathematics, Statistics, Economics, Physics,

Financial Engineering, Finance. PhD will be a plus.

Skills Required :

Experience in model documentation, development, model validation or stress-testing

Strong experience in end-to-end model monitoring (PD, EAD, and LGD) cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders.

- Excellent knowledge of regulatory and risk management guidelines (e.g. Basel, EBA guidelines, IFRS9, Stress Testing, ECL etc.)

- Strong programming experience in more than one of the following - SAS, Python, R