Job Title

Job Purpose: Leadership role managing and overseeing the credit risk model building (rating models, pooling models, macro-economic models etc.), risk estimation and portfolio analytics across retail, SME and wholesale credit risk segments. The role will involve periodic risk reviews, highlighting concern areas in credit risk profile, enrichments to risk measurements, overseeing projects on automation and implementations, liaising with Finance, Operations, IT and Policy units, active engagement with Senior Management. 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 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