Team Lead Credit Risk Modelling ECL

Role & responsibilities

1. ECL:

• Calculation:

• To calculate ECL for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage.

• Automation:

• To implement ECL Automation project using Python.

• Build and maintain ECL model and documentation:

• Development of Probability of Default models used in the computation of ECL for Company's (secured and unsecured) portfolios in accordance with Ind AS 109/IFRS 9 guidelines.
• Design, develop, test and validate statistical models for the entire product suite.
• Responsible for the documentation of PD, LGD models and the ECL Policy.

• Computation:

• Responsible for enhancing and developing the Internal Capital Adequacy Assessment Process (ICAAP) at company. This involves stress testing of risk in excess of the Pillar 1 requirement including credit risk, liquidity risk, IRBB, operational risk and strategic risk.

• Model Development:

• Development of stress testing models in compliance with the regulatory guidelines.

• Documentation

• Responsible for the documentation of ICAAP.

• Risk Appetite Statement/Enterprise Risk:

• Computation of various risk types on the basis on key risk metrics.
• Aggregate the various risk types to compute an Enterprise Risk score.
• Build Model and maintain documentation and track necessary deliverables
•         3. 

  VAR:

• Model Development:

• Design, develop and test VAR Models.

• Model Validation:

• Perform Back-testing and sensitivity analysis of VAR model.

• Documentation:

• Prepare and maintain documentation for the VAR mode
•        4. 

  Sensitivity Analysis on various portfolio cuts:

• Statutory/Internal Audit:

• To support Audit closure for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage.

• RBI Audit:

• To help in closing RBI audit.

Development of Systems:

• To implement, test ECL Automation project.

Preferred candidate profile

• The role holder is required to have the following critical skillsets:
• Strong communication & presentation skills
• Strong analytical acumen
• Initiative & target oriented
• Application and solution-oriented approach
• Positive stakeholder management
• Technology orientation
• Corporate Banking lending exposure
• The role holder is required to have the following technical skillsets:
• Python
• Excel
• Power BI
• Statistics
• Model Development
• Model Validation