IRB Model Development

About Protiviti India :

Protiviti (a wholly owned subsidiary of Robert Half) is a global consulting firm that delivers deep expertise in finance, technology, operations, data, analytics, governance, risk, and internal audit. At Protiviti India Member Firm, we foster a collaborative environment where innovation meets opportunity. We work with clients across various industries, including financial services, to deliver solutions that drive exceptional results.

The Role : IRB Model Developer

We are seeking a dynamic and detail-oriented IRB Model Developer with strong expertise in SAS to join our Financial Risk & Compliance practice in Bangalore. This pivotal role will focus on developing and validating Basel IRB models (PD, LGD, EAD) for our global banking and financial services clients, contributing directly to their financial stability and regulatory compliance.

Key Responsibilities :

As an IRB Model Developer, your responsibilities will include :

• Developing and calibrating robust credit risk models (PD, LGD, EAD) under the Basel II / III IRB approach, primarily utilizing SAS.
• Designing and implementing advanced statistical models and providing comprehensive support throughout the entire model lifecycle, from initial development to meticulous documentation and successful deployment.
• Efficiently extracting, cleaning, and transforming large datasets from diverse sources using SAS / Base, Macros, and SQL, ensuring data integrity and readiness for model development.
• Conducting thorough model performance analysis to assess accuracy, stability, and predictive power.
• Preparing comprehensive regulatory documentation and ensuring strict compliance with both internal governance frameworks and external Basel / ECB expectations.
• Collaborating effectively with cross-functional teams spanning risk, compliance, audit, and technology domains, fostering a cohesive and integrated approach.
• Actively participating in regulatory submissions and providing strong support for model validation and remediation efforts to address any identified areas for improvement.

Criteria :