Credit Risk Manager

Role & Responsibilities

• Lead implementation of

  Basel II Advanced Approaches

  , including internal model validation, IRB documentation, and computation of credit risk parameters such as

  PD (Probability of Default)

  ,

  LGD (Loss Given Default)

  , and

  EAD (Exposure at Default)

  .
• Manage and enhance the

  Internal Ratings Framework

  , ensuring effective governance of

  credit rating models

  , scorecards, and validation processes.
• Act as a liaison among business users, technology teams, and third-party vendors to ensure system performance, timely issue resolution, and seamless delivery of enhancements.
• Conduct end-to-end

  system testing

  , including defect validation, data reconciliation, and model logic verification.
• Lead the development and implementation of the

  Expected Credit Loss (ECL)

  framework under

  Ind AS

  , including asset staging, lifetime ECL computation, macroeconomic overlays, and forward-looking PD estimates.
• Drive initiatives under

  Risk-Based Supervision (RBS)

  by responding to regulatory queries and closing supervisory gaps.
• Improve data quality and governance within credit risk systems, ensuring consistency and completeness of critical data elements.
• Maintain compliance with regulatory guidelines and internal risk policies, including Basel III norms, ICAAP requirements, and RBI circulars.
• Apply

  Stress Testing

  and

  RAROC

  (Risk-Adjusted Return on Capital) principles to enhance capital planning and portfolio risk assessment.
• Work with large datasets for analysis and risk modeling using advanced Excel skills and reporting tools.