Regulatory Policies Risk Estimation Models | Retail Credit Portfolio Risk

· Job Purpose: The person's primary responsibility will be Project implementations for Regulatory policies pertaining to capital and provisions from Credit Risk point of view, and developing internal risk estimation methodologies pertaining to PD, LGD, and EAD.

· The role will involve liaising with Finance, Operations, IT Credit, Policy, Credit, Risk Analytics, Audit and Validation Units.

· Active engagement with Senior Management

· Leading analysts to drive projects towards timely and efficient completion

Job Responsibilities (JR) :

Actionable

Regulatory Guidelines & Internal Policies

· Functional understanding of changes / updates in regulatory guidelines in IRB capital guidelines and provisioning guidelines such as IndAS ECL / US GAAP CECL from a Credit Risk point of view.

· Assessing the impact of these changes on Bank’s reporting, liaising with stakeholder departments such as Finance / Credit for feedback, providing support and guidance for the required system enhancements thereon.

· Presentation to senior management detailing the new / update in capital / provisioning guidelines and the resultant impact on reportings.

· Methodology refinements to Bank’s Credit Risk Stress Testing

· Assessing the Retail Portfolio’s distribution and anlyzing reasons for movements

· Ensuring appropriate documentation / internal policy formulation for capital / provisioning standards

Risk Estimation Models & Methodologies

· Review of various risk estimates methodology for both Basel and IFRS, comprising of PD, LGD, EAD(CCF) risk components.

· Implementation of new methodologies for the estimation of risk components, for new guidelines compliance and for internal methodology enhancement

· Presentation to senior management on analyses / trends in risk estimates

· Providing inputs to senior management for Investor calls / presentations

· Ensuring appropriate documentation / policy formulation for risk estimation

Team / Stakeholder management
• Work with a team of analyst / senior analyst and guide them on various aspects related to capital / provisioning computations, guidelines interpretation, etc.
• Liaise actively with Operations, Credit, Finance, and IT units for inputs on new guidelines / risk methodologies.

Educational Qualifications (examples listed)

Key Skills (examples listed below)

Post-graduate degree (preferably in Statistics or an MBA or Economics degree with a strong quantitative underpinning) from a respected institution with an outstanding academic record.

Minimum Experience of 4-6 Years in relevant field.
• Team Management & Strong interpersonal and communication skills
• Excellent Quantitative and analytical skills
• Good understanding of the regulatory guidelines with respect to capital adequacy / ECL computations
• Good understanding of Banking especially retail assets
• Experience in handling large volumes of data. Good excel skills.
• Knowledge of R/SAS/Python preferred
• Should be able to manage and groom the junior team members in order to develop their competencies

Experience Required (examples listed below)
• Experience of 4-6 years & above in credit risk management in banking from reputed financial house
• Exposure to banking required, preferably retail assets

Major Stakeholders (intra team and cross functional stakeholders, who would need to be interacted with for discharging duties) (examples listed below)

· Internal stakeholders of Risk Management Group

· CAD/Operations Team

· Credit/Policy Team

· Finance Team

· Risk Analytics Unit

· Audit Team

· Validation Team

· Compliance Team

· IT Team
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