Job Description
The main purpose of the role is to develop the wholesale risk models and assist the lead of the team in execution of risk governance and practices around quantitative models.
Key Result Areas :
Stakeholder Management :
- Prepare presentations and communicate effectively with Senior Management and Board-level committees.
- Engage with multiple stakeholders across the credit lifecycle : Limit Management, Collateral Management, RAROC, Customer Rating.
- Review financial spreading logic in newly developed credit lifecycle system.
- Support governance and audit readiness through proper model documentation and transparent development practices.
Technical & Delivery Responsibilities
Design and implement end-to-end process for development, validation, and lifecycle management of Wholesale Rating Models.Develop and validate a range of models including :
Corporate / Wholesale Rating Models including Large Corporate, Mid Corporate, SME, Sovereign, FI, HNWI, Project Finance, and Specialized Lending.Explore new approaches for rating model development for low default portfolios.Master Rating Scale (MRS) calibration.People Management
Build, mentor, and lead a team of modelers and consultants.Drive capability building and continuous learning within the team through training, peer reviews, and knowledge sharing.Wholesale Model Monitoring
Outline the goals of model monitoring, considering factors like accuracy and other relevant metrics based on the model purpose.Determine the expected performance of the respective models on historical data.Implement monitoring tools to continuously assess model performance.This includes monitoring input data quality, predictions.Communicate the model performance to relevant stakeholders to ensure the prompt attention to potential problems.Regularly review and improve the model performance process based on the feedback, change in underlying data and evolving business requirement.Climate Risk Analytics
Develop statistical climate risk models, integrate economic and social data to understand how climate risks may impact.Develop different climate scenarios based on the various emission pathways and climate change projection.Assess the potential impact of each scenario on the identified financial risk.Based on the statistical models, develop adaption strategies to mitigate relevant risks.Establish a system for continuous monitoring of climate date and update the climate risk models regulatorily.Incorporate existing and potential future policies and regulations related to climate change into the model development.Involve stakeholders in the meeting process to ensure a comprehensive understanding of local conditions, priorities and concerns.Data Management
Lead end-to-end data lifecycle management for model development, including sourcing, profiling, transformation, and documentation.Identify data requirements model development.Coordinate with IT and data engineering teams to streamline data pipelines required for model development.(ref : iimjobs.com)