Credit Risk Manager

Role & Responsibilities

• Lead implementation of Basel II Advanced Approaches , including internal model validation, IRB documentation, and computation of credit risk parameters such as PD (Probability of Default) , LGD (Loss Given Default) , and EAD (Exposure at Default) .
• Manage and enhance the Internal Ratings Framework , ensuring effective governance of credit rating models , scorecards, and validation processes.
• Act as a liaison among business users, technology teams, and third-party vendors to ensure system performance, timely issue resolution, and seamless delivery of enhancements.
• Conduct end-to-end system testing , including defect validation, data reconciliation, and model logic verification.
• Lead the development and implementation of the Expected Credit Loss (ECL) framework under Ind AS , including asset staging, lifetime ECL computation, macroeconomic overlays, and forward-looking PD estimates.
• Drive initiatives under Risk-Based Supervision (RBS) by responding to regulatory queries and closing supervisory gaps.
• Improve data quality and governance within credit risk systems, ensuring consistency and completeness of critical data elements.
• Maintain compliance with regulatory guidelines and internal risk policies, including Basel III norms, ICAAP requirements, and RBI circulars.
• Apply Stress Testing and RAROC (Risk-Adjusted Return on Capital) principles to enhance capital planning and portfolio risk assessment.
• Work with large datasets for analysis and risk modeling using advanced Excel skills and reporting tools.

Skills Required

Regulatory Compliance, model validation, Data Governance