IRB Modeler - Credit Risk - Wholesale Banking

IRB Modeler (Wholesale Banking / Mortgages)

Location: Mumbai

Role Overview:

We are seeking an experienced IRB Modeler to drive the development, refinement, and ongoing validation of advanced Internal Ratings-Based (IRB) credit risk models across Wholesale Banking and Mortgage portfolios. In this role, you will lead parameter estimation, ensure alignment with regulatory standards (e.g., UK PRA / Basel 3.1), and maintain robust data governance across the full model lifecycle.

Key Responsibilities:

• Parameter Development & Calibration: Design, build, and refine IRB credit risk parameters (PD, LGD, EAD/CCF) and maturity capital calculations for Wholesale Banking and Mortgage portfolios in line with supervisory requirements.
• End-to-End Model Lifecycle Management: Lead the full model lifecycle - from scoping, data extraction, and model design to technical documentation and presentation to 3LOD risk governance committees (e.g., GRC, BRC).
• Performance Monitoring & Backtesting: Conduct annual model reviews, calibration checks, backtesting, and discriminatory power analysis; identify performance deficiencies and implement remediation plans.
• Regulatory Transformation & Basel 3.1 Alignment: Research, design, and implement best-practice methodologies to comply with evolving regulations.
• Data Architecture & BCBS 239 Governance: Build automated, customer-level Basel and IFRS 9 data pipelines while ensuring adherence to BCBS 239 / RDARR principles regarding data quality, lineage, and auditability.
• Stress Testing & ICAAP Frameworks: Develop bespoke wholesale and retail RWA, PD, and LGD stress testing tools to support ICAAP, Climate Risk Stress Testing, and macro-economic scenario analysis.
• Model Validation & Audit Support: Collaboratively support independent model validation teams, internal audit, and regulatory reviews.
• Cross-Functional Analytics & Automation: Leverage advanced tools (Python, SQL, SAS, Tableau, Power BI) to automate parameter execution engines, perform portfolio analytics, and deliver executive-level risk reporting dashboards.
• Stakeholder Engagement & Governance: Act as a key technical contact for business line leaders, credit risk policies, and regulatory bodies to ensure model outputs align with underwriting strategies and risk appetite frameworks.