IRB Modeler - Credit Risk Model Validation Specialist - Banking/Financial Services

Role Overview:

As a Credit Risk Model Validation Specialist based in Mumbai, you will play a pivotal role in ensuring the integrity and robustness of the bank's risk management framework. You will be responsible for independently reviewing and challenging complex credit risk models, including PD, LGD, and EAD frameworks, to ensure they remain fit for purpose in a dynamic regulatory environment. Working closely with the risk modeling, business, and internal audit teams, you will provide critical insights that directly influence capital adequacy decisions and strategic risk appetite. Your work will serve as a vital line of defense, ensuring that the organization's risk assessments are accurate, compliant with global standards like IFRS 9 and IRB, and resilient under various stress testing scenarios.

Key Responsibilities:

• Execute rigorous validation procedures for credit risk models to ensure technical accuracy, conceptual soundness, and adherence to regulatory guidelines.
• Conduct comprehensive back-testing and benchmarking analysis to assess model performance and identify potential limitations in predictive capabilities.
• Collaborate with model development teams to provide constructive feedback and remediation plans, ensuring that model weaknesses are addressed before deployment.
• Develop and maintain sophisticated documentation for model validation reports, providing clear transparency for senior management and regulatory bodies.
• Perform stress testing and sensitivity analysis to evaluate the impact of macroeconomic shifts on the bank's credit portfolio and capital requirements.
• Monitor regulatory developments and industry best practices to ensure the bank's modeling framework remains compliant with evolving Basel and IFRS 9 requirements.

Required Skillset:

• Demonstrated expertise in statistical modeling and risk analytics, with a deep understanding of the mathematical foundations of PD, LGD, and EAD estimation.
• Proficiency in programming languages such as Python or R to perform complex data manipulation, statistical testing, and model validation tasks.
• Proven ability to communicate complex technical findings to non-technical stakeholders, ensuring that risk insights are actionable and well-understood across the organization.
• Strong analytical mindset with the ability to challenge existing methodologies and propose innovative solutions to improve model accuracy and efficiency.
• A solid educational background in Statistics, Mathematics, Economics, or a related quantitative field from a premier institute.
• Ability to thrive in a collaborative, hybrid work environment in Mumbai, managing multiple high-priority validation projects simultaneously while maintaining high standards of accuracy and regulatory compliance.