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Credit Risk Modelling Consultant

Location

India

Posted

41 days ago

Salary

0

Seniority

Mid Level

No structured requirement data.

Job Description

Credit Risk Modelling Consultant

Unison Group

Role Description - Internal Rating Model Development - Design, develop, calibrate, and validate: - Corporate Rating Models (A-Card) - Retail/SME Scorecards (B-Card) - Define rating methodologies and risk segmentation. - Establish rating scales, score-to-grade mapping, and overrides. - Assess discriminatory power and model stability. - Credit Risk Parameter Modelling - Develop and maintain: - Probability of Default (PD) - Through-the-Cycle (TTC) PD models - Point-in-Time (PIT) PD models - Migration and transition matrix models - Vintage and cohort analysis - Loss Given Default (LGD) - Workout LGD models - Downturn LGD estimation - Recovery rate modelling - Collateral effectiveness assessment - Exposure at Default (EAD) - Credit Conversion Factor (CCF) models - Utilization and drawdown models - Exposure forecasting methodologies - Early Warning System (EWS) - Define risk indicators and trigger frameworks. - Develop predictive models for deterioration detection. - Create customer-level risk monitoring frameworks. - Assess EWS effectiveness and false-positive rates. - Concentration Risk Management - Measure: - Single obligor concentration - Industry concentration - Geographic concentration - Product concentration - Develop concentration risk metrics and dashboards. - Support ICAAP and economic capital assessments. - Credit Risk Limit Management - Define portfolio and counterparty risk limits. - Develop limit utilization monitoring frameworks. - Support risk appetite implementation. - Produce management and regulatory reports. - Credit Stress Testing - Design macroeconomic stress testing frameworks. - Develop stressed PD, LGD, and EAD methodologies. - Build scenario-based portfolio impact models. - Support ICAAP and regulatory stress testing exercises. - Quantify impacts on: - Capital - Provisioning - Profitability - Risk-weighted assets (RWA) - Model Validation & Governance - Perform: - Back-testing - Benchmarking - Sensitivity analysis - Stability testing - Override analysis - Prepare model documentation. - Participate in model governance committees. - Address regulatory and audit findings. Qualifications - Risk Management - Basel II / Basel III / Basel IV - IFRS 9 - ICAAP - Stress Testing - Credit Portfolio Risk Management - Statistical Modelling - Logistic Regression - Survival Analysis - Decision Trees - Machine Learning techniques - Time Series Analysis - Model Calibration Techniques Technical Skills - Python - SQL - Excel/VBA Preferred Platform Experience - OFSAA Risk Management Suite - SAS Credit Risk Solutions - Moody's Analytics - FIS Risk Solutions - Experian Credit Risk Platforms Experience - Minimum: 8+ years in Credit Risk Modelling - Preferred: Experience building or validating: - PD Models - LGD Models - EAD Models - Internal Rating Models - Stress Testing Models - Banking domain experience in: - Corporate Banking - Retail Banking - SME Banking - Regulatory interaction experience

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