Credit Risk Model Development and Validation

Job Overview:

We are seeking an experienced Lead Model Developer/Validator with exceptional expertise in credit risk modeling. The ideal candidate will bring deep domain knowledge and advanced technical skills to drive sophisticated credit risk modeling initiatives across retail and wholesale portfolios.

Position Details:

Location: Pan India

Experience Level: 5-10 years

Employment Type: Full-time

Key Responsibilities:

• Lead end-to-end development and validation of advanced credit risk models, including, PD, EAD, LGD and Impairment models compliant with IFRS9/ CECL Standards
• Conduct comprehensive data preparation, preprocessing using tools including SAS, Python, R, and SQL
• Design, build, and implement robust credit risk models across retail and 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:

• 5-10 years of hands-on experience in credit risk model development and validation
• Proven expertise in modeling across retail and wholesale credit portfolios
• Advanced proficiency in: SAS, Python, R, SQL
• Strong knowledge of impairment and capital models (IRB approach)
• Deep understanding of IFRS9 and CECL regulatory frameworks
• 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, IFRS9, CECL
• Statistical Modeling
• Data Preprocessing
• Machine Learning Techniques