Crisil - Associate Director - Banking Book Model Risk Management (10-15 yrs)

About CRISIL Limited

CRISIL is a leading, agile, and innovative global analytics company driven by its mission of making markets function better.

It is Indias foremost provider of ratings, data, research, analytics, and solutions with a strong track record of growth, culture of innovation, and global footprint.

It has delivered independent opinions, actionable insights, and efficient solutions to over 100,000 customers through businesses that operate from India, the US, the UK, Argentina, Poland, China, Hong Kong, Singapore, Australia, Switzerland, Japan, and the United Arab Emirates (UAE).

It is majority owned by S&P Global Inc, a leading provider of transparent and independent ratings, benchmarks, analytics and data to the capital and commodity markets worldwide.

CRISIL is an equal opportunity employer and all qualified candidates will receive consideration for employment without regard to race/ ethnicity, color, religion, sex, sexual orientation, gender identity, national origin, age, disability, marital status, military veteran status, unemployment status, or any other status protected by law.

To know more: www.crisil.com

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About CRISIL Global Research & Risk Solutions (GR&RS)

CRISIL GR&RS is a leading provider of high-end research, risk and analytics services. We are the world's largest provider of equity and fixed-income research support to banks and buy-side firms. We are also the foremost provider of end-to-end risk and analytics services that include quantitative support, front and middle office support, and regulatory and business process change management support to trading, risk management, regulatory and CFO functions at world's leading financial institutions. We also provide extensive support to banks in financial crime and compliance analytics. We are leaders in research support, and risk and analytics support, providing it to more than 75 global banks, 50 buy-side firms covering hedge funds, private equity, and asset management firms. Our research support enables coverage of over 3,300 stocks and 3,400 corporates and financial institutions globally. We support more than 15 bank holding companies in their regulatory requirements and submissions. We operate from 7 research centers in Argentina, China, India, and Poland, and across several time zones and languages.

Department - GR&RS

Job Description

Job Summary:

Seeking a highly experienced professional with exposure to development/validation, and oversight of banking book models. The successful candidate will play a key role in managing model risk across the banking book, including market, interest rate risk (IRRBB), credit, and climate-related financial risk, ensuring alignment with regulatory requirements and internal risk frameworks. This role requires deep technical expertise in risk modelling, strong knowledge of banking regulations, and the ability to effectively communicate complex concepts to senior stakeholders.

Key Responsibilities:

- Lead the design, development, and validation of banking book risk models, including credit, climate, market, and interest rate risk models (IRRBB).

- Ensure compliance with regulatory standards such as Basel III/IV, IRRBB, and other applicable local regulatory frameworks.

- Collaborate with cross-functional teams (Risk, Finance, Treasury) to integrate models into the broader risk management framework.

- Perform regular model performance monitoring, backtesting, benchmarking, and sensitivity analyses.

- Knowledge of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models for retail and wholesale portfolios.

- Provide model risk reporting to senior management and the risk committee, ensuring transparency and clarity on model performance and risk exposures.

- Knowledge of integrating climate risk into banking book models, assessing its impact on credit and market risk. Sufficient understanding of climate stress-testing models in alignment with emerging regulatory guidelines (e.g., ECBs Guide on Climate-Related and Environmental Risks, PRA SS3/19).

- Oversee model governance, ensuring all models meet internal model risk management standards and adhere to the three lines of defense model.

- Engage with regulatory bodies during model audits and validations, addressing any feedback or findings.

- Drive initiatives to automate and streamline the model development and validation process through the use of advanced analytics and technology tools.

Qualifications and Experience:

- Minimum of 10-15 years of experience in banking book modelling, validation, and risk management.

- Strong expertise in IRRBB, market and credit risk models.

- Knowledge of climate risk and its application within the banking book risk management framework.

- Deep understanding of Basel III/IV, IRRBB guidelines, and other relevant regulatory requirements.

- Proficiency in programming languages (e.g., Python, R, SAS) and advanced analytics techniques.

- Strong stakeholder management skills, with the ability to communicate complex technical concepts to non-technical audiences.

- Experience with model risk governance and regulatory engagement.

Education: Master's degree or PhD in Finance, Economics, Mathematics, or related fields.

Open Positions - 1

Mandatory Skills - IRRBB, Banking Book, Credit Risk Management, Credit Risk, climate risk

Location - Mumbai, Maharashtra, India

Experience - 10 to 15 Years