Senior Associate – Analytics, Credit Risk Modelling, IFRS9

This is a fully remote position, open to applicants in India.

📋 Description

• Assist in the enhancement and implementation of Bank-wide IFRS 9 Models and assess risk appetite for the retail portfolio.

• Review and create various risk and regulatory models while recommending necessary remedial actions.

• Responsible for supporting the development, implementation, and maintenance of credit scoring models, assessment tools, strategies, and capital estimate modeling of PD, LGD, EAD, and macroeconomic factors applicable to retail portfolios throughout their lifecycle.

• Develop and improve regulatory models related to ICAAP and stress testing.

• Monitor, document, and communicate the functionality of credit risk methods and models to various stakeholders.

• Provide recommendations to update models based on the latest data and analysis.

• Prepare and support ERM in regulatory reports concerning the retail credit portfolio in alignment with internal and regulatory requirements.

• Assist in enhancing the IFRS 9 methodology and developing Basel models for the retail portfolio.

• Enhance and maintain the model governance framework for the retail portfolio.

• Deploy models in decision systems and collaborate with IT for effective maintenance of scoring-related information.

• Identify analytical opportunities throughout the credit lifecycle – Acquisition, Portfolio Management, and Collection.

• Required to develop data-driven analytics to monitor asset quality and minimize the credit risk of the retail portfolio.

• Conduct analytical projects in collaboration with policy when credit events necessitate such action.

• Ensure timely communication of scorecard monitoring and validation along with insights and recommendations.

• Drive the computation of Expected Credit Loss (ECL), which is essential for the impairment reporting of assets classified as amortized cost and fair value through other comprehensive income.

• Liaise with IT and relevant parties to source and determine data for impairment.

• Analyze data and perform back-testing/stress-testing of IFRS 9 models to assess model performance.

• Identify model risks and provide solutions and recommendations to stakeholders; influence stakeholders to address gaps in the recommendations.

• Conduct risk analysis and identification of all processes involved in the IFRS 9 ECL computation according to the guidelines under the Bank-wide Risk Framework.

• Define new controls and key control indicators for relevant processes and outline remedial actions in cases of ineffective existing controls.

• Prepare the IFRS 9 model validation report for board submission and monitor all outstanding matters in the validation, reporting to the board.

• Engage in extensive coordination and communication with all stakeholders.

• Manage the interface with regulators, external, and internal auditors regarding the models in use and their validation.

• Provide support to impairment committees and relevant meetings, coordinating the agenda, presentation packs, and preparation of minutes.

• Oversee and coordinate the submission of documents to both Internal and External Audit, ensuring that action plans address raised audit issues and are resolved in a timely manner.

• Maintain and modify policies and documentation as necessary.

• Set, establish, and deliver on multiple priorities within specified timelines.

• Contribute to the development of a successful and growing team.

• Perform other duties as assigned.

⛳️ Requirements

• One year of experience in risk analytics/risk modeling.

• One year of hands-on experience in model building methodologies, implementation, and compliance.

• Strong understanding of IFRS 9 standards that drive Expected Credit Loss computational activities and impairment measurement in financial reporting.

• Familiarity with Data Quality Management Framework.

• Experience or understanding of process mapping, governance activities, policy writing, and committee management within a risk function of a financial institution.

• Degree in Quantitative Studies, Statistics, Actuarial Science, or Mathematics (exposure to finance would be advantageous).

• Excellent analytical, numerical, research, and problem-solving skills.

• Proficient in programming languages such as SAS, Oracle, Python/R, Microsoft, and web-based systems.

• Ability to convey technical concepts in a manner that is understandable for business purposes.

• Self-motivated individual with a strong drive, dedication, and a consistent desire to excel.

• Team player, self-starter, innovative, and highly motivated.

🏝️ Benefits

• Competitive salary

• Flexible working hours

• Professional development budget

• Home office setup allowance

• Global team events