Team Lead – Retail Credit Risk Model Building

Job Description

JD approved by (business): Nachiket Damodare – Head-ERM & Credit Risk Analytics & Advance Capital & Provsioning Stds Version No: 2.0 Job Purpose: · Leadership role managing and overseeing the development of retail credit risk model building using statistical, econometric and advance analytics. Job Responsibilities Actionables Leadership · Lead development of advanced credit risk models for provisioning/capital requirements (IFRS, CECL, BASEL IRB) and internal risk management using statistical, econometric and machine learning techniques · Manage team of quantitative analysts providing technical guidance and mentorship Retail Model building · Apply machine learning algorithms and advanced statistical techniques to enhance model performance · Utilise big data tech for data processing and feature engineering · Integrate external data sources to improve model accuracy · Collaborate with IT and data engineering teams to ensure availability and quality of data for model development · Ensure documentation practice is inculcated in the team Policies and Procedures · Develop/enrich/update policies and procedures for retail model building. · Ensure new regulatory requirements are understood, analysed and impact assessment conducted. Periodic submissions · Ensure timely and quality submissions of Board/ Board Committee/Senior Management notes · Presentations to Senior Management committees to provide updates, analyses. · Communicate lucidly model performance and risk assessments to senior management Model Validation · Engage with Model Validation Unit to address the observations, improve model building with best practices Regulatory and Audit · Liaise with regulatory and statutory audit/ compliance/validation and related teams to address observations and ensure compliance to regulations. · Respond to regulatory indents and observations and guide to closure. Educational Qualifications Key Skills Post-graduate degree (preferably in Statistics or Economics degree with a strong quantitative underpinning) from a respected institution with an outstanding academic record. Certifications desired: CFA/ FRM · Team Management & excellent interpersonal skills · Excellent quantitative and analytical skills · Strong interpersonal / communication skills · Good understanding of the regulatory guidelines with respect to capital adequacy, provisioning · Should be able to manage and groom the team to develop required competencies Experience Required · Experience of 10-14 years & above in credit risk analytics, model development from reputed financial house · Strong technical skills in python, SQL, Azure, cloud functions deployment · Exposure to banking preferable · Strong exposure to local and global regulatory guidelines · Ability to handle team of analysts ensuring motivation in the team for quality and timely deliverables Major Stakeholders · Board/Board Committees · Senior Management · Audit & Compliance · Regulators · Risk teams · Credit · Business · Finance, Credit Administration Dept., Operations, Trade · IT Show more Show less