IN_Senior Associate_IRB Modelling_Captives - FST_ Advisory_ Mumbai

Job Description & Summary: · Lead the development, enhancement, and maintenance of IRB credit risk models (PD, LGD, EAD) for Retail and Wholesale portfolios, ensuring alignment with regulatory standards (Basel II/III/IV, ECB, PRA, SR 11-7, and internal model governance requirements).

Responsibilities:

· Lead the development, enhancement, and maintenance of IRB credit risk models (PD, LGD, EAD) for Retail and Wholesale portfolios, ensuring alignment with regulatory standards (Basel II/III/IV, ECB, PRA, SR 11-7, and internal model governance requirements). · Develop and maintain credit rating models/scorecards for various portfolios; support calibration, back-testing, and performance monitoring. · Perform quantitative analysis, statistical modeling, and data exploration to support model design and assumptions. · Prepare high-quality model documentation including methodology, data assessment, assumptions, limitations, model performance, and regulatory compliance. · Present model development approach, model performance results, findings, and recommendations to senior management, Model Risk Management (MRM) teams, regulators, and key stakeholders. · Support model implementation, testing, and deployment working closely with technology, validation, and audit teams. · Contribute to counterparty credit risk models and exposure measurement frameworks where required.

· Ensure compliance with model governance and internal control frameworks across the model lifecycle. · Mentor junior team members and contribute to best practices in quantitative risk modeling.

Mandatory skill sets:

· Proficiency in Python for statistical modeling, data processing, and model development · Strong SQL skills for data extraction, data processing, and portfolio analysis · Experience with statistical techniques such as logistic/linear regression, survival models, segmentation, benchmarking, calibration, and validation

Preferred skill sets:

· Proficiency in Python for statistical modeling, data processing, and model development · Strong SQL skills for data extraction, data processing, and portfolio analysis · Experience with statistical techniques such as logistic/linear regression, survival models, segmentation, benchmarking, calibration, and validation

Years of experience required:

7+ years in Quantitative/Model Development roles (Big-4 experience preferred)

Education qualification:

· Mandatory - Graduate/Postgraduate · Candidates with experience working in Big 4 consulting environments and an academic background from Tier-1 institutes (such as IIT/ISI or equivalent) will be preferred.