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Credit Risk Modelling Expert

Credit Risk Modelling Expert

Expleo

15 years

0 Lacs

Chennai, Tamil Nadu

Posted:2 days ago| Platform: SimplyHired logo

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Skills Required

Doctoral degree Finance Master's degree SQL Machine learning Communication skills Banking Python

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Job Type

Job Description

Overview:

Credit Risk Models Expert

Responsibilities:

Lead the design and execution of model testing strategies for PD, LGD, and EAD models across retail, SME, and corporate portfolios.
Build and manage a testing framework including input validation, model recalculation, performance tracking, stress testing, and documentation.
Collaborate with model developers, business teams, auditors, and regulators to ensure transparency and alignment with risk and capital objectives.
Interpret model outputs and translate complex statistical results into business-friendly insights and recommendations.
Review and sign off on model validation reports and model performance dashboards.
Support internal and external audits (e.g., SARB, internal audit, regulators) with detailed technical documentation and evidence.
Ensure ongoing compliance with Basel AIRB, IFRS 9, and ICAAP requirements.
Stay updated with regulatory changes, industry trends, and best practices in risk modeling.
Conduct peer reviews, mentoring, and training to upskill team members in model testing and validation.

Qualifications:

Certification in FRM/PRM/CQF is a plus.
Experience with data governance, risk data aggregation (BCBS 239).
Familiarity with machine learning techniques in credit modeling is desirable but not mandatory.

Essential skills:

Expertise in Credit Risk Models

Desired skills:

Master’s degree or PhD in Statistics, Econometrics, Quantitative Finance, Mathematics, or related field.
15+ years of experience in credit risk model development, validation, or audit within a banking or consulting environment.
Deep knowledge of Basel II/III, IFRS 9, IRB models, and capital adequacy frameworks.
Proficiency in model validation methodologies (discriminatory power, calibration, backtesting, sensitivity analysis).
Hands-on expertise in Python, R, SAS, SQL, and/or model risk management platforms (e.g., Moody’s RiskAuthority, SAS IRM).
Strong understanding of banking products and exposure types: loans, overdrafts, credit cards, guarantees, etc.
Proven experience in regulatory and stakeholder engagement.
Excellent analytical, leadership, and communication skills.

Experience:

15+ years

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