Credit Risk - IRB Wholesale Model Developer (P2)

Job Description

Job Overview:

We are seeking an experienced Lead Model Developer with exceptional expertise in credit risk modeling, especially the wholesale portfolio (banks, corporate, specialized lending, real estate, non-banking). The ideal candidate will bring deep domain knowledge and advanced technical skills to drive sophisticated credit risk modeling initiatives across wholesale portfolios.

 Position Details:

Location: Bangalore, India

Experience Level: 3 to 8 years

Employment Type: Full-time

 Key Responsibilities:

• Lead end-to-end development of advanced credit risk models, including PD, EAD, LGD models compliant to IRB Standards
• Conduct comprehensive data preparation, preprocessing using tools including SAS, Python, R, and SQL
• Design, build, calibrate and implement robust credit risk models across wholesale portfolios with rigorous User Acceptance Testing (UAT)
• Collaborate with cross-functional stakeholders to analyze, interpret, and communicate complex model results and insights
• Develop comprehensive technical documentation including:
  • Model documentation
  • Business Requirements Documents (BRD)
  • Validation reports
  • Regulatory compliance documentation
• Drive continuous model improvement through:
  • Identifying optimization opportunities; Implementing advanced modeling techniques; Enhancing model performance and predictive accuracy
• Provide mentorship and technical guidance to junior team members, fostering a culture of knowledge sharing and professional development

 Required Qualifications:

• 3 to 8 years of hands-on experience in credit risk model development
• Proven expertise in modeling across wholesale/LDP credit portfolios
• Advanced proficiency in: SAS, Python, R, SQL
• Strong knowledge of capital models (IRB approach)
• Exceptional analytical and problem-solving skills
• Excellent written and verbal communication abilities

 Preferred Qualifications:

• Advanced degree in Statistics, Mathematics, Economics, or related field
• Professional certifications in risk management or financial modeling
• Experience with machine learning and advanced statistical modeling techniques
• Knowledge of Basel regulatory requirements

Technical Skills:

• Model Development: PD, LGD, EAD
• Programming: SAS, Python, R, SQL
• Regulatory Knowledge: IRB (must)
• Data Preprocessing / Statistical Modeling / Machine Learning Techniques