Credit Risk Model Developer – IRB Modelling – Banking & Financial Services Crescendo Global Lea[...]

The Corporate Institute; Gurgaon; On-site; INR 1,200,000 - 2,400,000; Full time

Job summary

The Corporate Institute is seeking an experienced Credit Risk Model Developer to design, calibrate, and implement IRB-based models for wholesale credit portfolios in Gurgaon. You will lead data extraction, preprocessing, and advanced statistical analyses using Python, R, and SQL, ensuring Basel IRB compliance throughout development and validation.

You will collaborate with stakeholders to translate model outputs into actionable business insights, prepare comprehensive model documentation, BRDs,

Qualifications

• Bachelor’s or Master’s degree in Statistics, Mathematics, Economics, Finance, Engineering, or a related quantitative discipline.
• 5+ years of hands‑on experience in Credit Risk Model Development.
• Strong experience in IRB Model Development for Wholesale/LDP credit portfolios.
• Expertise in PD, LGD, and EAD model development.
• Strong programming skills in Python, R, SQL, and preferably SAS.
• Strong understanding of Basel regulations and the IRB regulatory framework.
• Experience in statistical modelling, data preprocessing, and machine learning techniques.
• Excellent analytical, problem‑solving, communication, and stakeholder management skills.

Responsibilities

• Develop and enhance Probability of Default (PD) models in compliance with IRB regulatory standards.
• Perform data extraction, data preparation, preprocessing, and statistical analysis using Python, R, and SQL.
• Design, build, calibrate, validate, and implement robust credit risk models across wholesale/LDP portfolios.
• Perform User Acceptance Testing (UAT) and support successful model implementation.
• Collaborate with cross-functional stakeholders to analyze, interpret, and communicate model outputs and business insights.
• Prepare technical documentation including Model Documentation, BRDs, Validation Reports, and Regulatory Compliance Documentation.
• Identify model enhancement opportunities and implement advanced modelling techniques to improve predictive accuracy and model performance.
• Ensure adherence to Basel regulations and IRB capital modelling requirements.

Skills

PD modelling

LGD modelling

EAD modelling

Python

R

SQL

SAS

Basel regulations

IRB framework

Stakeholder management

Education

Bachelor's degree

Master's degree

Tools

SAS

Python

R

SQL

Job description

Role Overview:

Are you an experienced Credit Risk Model Developer with expertise in IRB (Internal Ratings-Based) Modelling and wholesale credit risk portfolios? We are looking for a skilled professional to develop, calibrate, and implement advanced credit risk models while supporting regulatory compliance under the Basel IRB framework.

Responsibilities:

• Develop and enhance Probability of Default (PD) models in compliance with IRB regulatory standards.
• Perform data extraction, data preparation, preprocessing, and statistical analysis using Python, R, and SQL.
• Design, build, calibrate, validate, and implement robust credit risk models across wholesale/LDP portfolios.
• Perform User Acceptance Testing (UAT) and support successful model implementation.
• Collaborate with cross-functional stakeholders to analyze, interpret, and communicate model outputs and business insights.
• Prepare technical documentation including Model Documentation, Business Requirement Documents (BRDs), Validation Reports, and Regulatory Compliance Documentation.
• Identify model enhancement opportunities and implement advanced modelling techniques to improve predictive accuracy and model performance.
• Ensure adherence to Basel regulations and IRB capital modelling requirements.

Requirements:

• Bachelor’s or Master’s degree in Statistics, Mathematics, Economics, Finance, Engineering, or a related quantitative discipline.
• 5+ years of hands‑on experience in Credit Risk Model Development.
• Strong experience in IRB Model Development for Wholesale/LDP credit portfolios.
• Expertise in PD, LGD, and EAD model development.
• Strong programming skills in Python, R, SQL, and preferably SAS.
• Strong understanding of Basel regulations and the IRB regulatory framework.
• Experience in statistical modelling, data preprocessing, and machine learning techniques.
• Excellent analytical, problem‑solving, communication, and stakeholder management skills.

What is in it for you:

• Opportunity to work on large‑scale credit risk modelling and regulatory capital initiatives.
• Exposure to advanced statistical modelling, machine learning, and Basel regulatory frameworks.
• High‑impact role with strong learning and career progression opportunities.
• Collaborative and performance‑driven work environment.