Credit Risk Modelling - Expected Credit Loss

ECL Model Development and Implementation:

• Build and maintain statistical models to calculate Expected Credit Losses across different loan portfolios based on factors like borrower credit history, macroeconomic indicators, and industry trends.
• Implement the ECL model within the Bank's system to automatically generate provisioning requirements.
• Regularly review and update the ECL model to reflect changing market conditions and portfolio dynamics.

Data Management and Analysis:

• Collect and cleanse loan data from various internal systems to ensure accuracy for ECL calculations.
• Perform data analysis to identify trends and patterns impacting credit risk.
• Develop data visualization tools to present insights on credit risk metrics to senior management.

Regulatory Compliance:

• Ensure adherence to regulatory guidelines regarding ECL calculation and provisioning as per Ind AS 109.
• Prepare necessary reports and documentation to support regulatory audits.

Collaboration and Communication:

• Work closely with the credit risk team, finance department, and IT team to ensure accurate ECL calculations and smooth implementation of the ECL model.
• Communicate ECL related insights and risks to senior management and stakeholders.

Required Skills and Qualifications:

• Strong understanding of credit risk management and the ECL framework under Ind AS 109
• Expertise in statistical modeling techniques, including regression analysis, decision trees, and time series analysis.
• Proficiency in data manipulation and analysis tools like SQL, SAS, or Python
• Financial modeling skills and understanding of financial statements.
• Excellent communication and presentation skills to convey complex financial concepts to non-technical audiences.
• Relevant experience in credit risk management within a banking or NBFC environment