IRB Modeler – Credit Risk – Wholesale Banking Rarefind Hr Consulting

The Corporate Institute; Mumbai; On-site; INR 4,000,000 - 7,000,000; Full time

Job summary

The Corporate Institute in Mumbai seeks an experienced IRB Modeler to drive the development, validation, and governance of IRB credit risk models for Wholesale Banking and Mortgage portfolios. You will lead parameter estimation for PD, LGD, EAD/CCF, manage the full model lifecycle, support regulatory reviews, and deliver executive risk dashboards using Python, SQL, SAS, Tableau and Power BI.

This role requires strong data governance, BCBS 239 compliance, ICAAP and stress testing expertise, with

Qualifications

• Advanced knowledge of IRB credit risk modelling (PD, LGD, EAD)
• Experience with Basel 3.1 / regulatory frameworks
• Strong data governance and risk reporting discipline

Responsibilities

• Design, build and refine IRB risk parameters for Wholesale Banking and Mortgage portfolios
• Lead end-to-end model lifecycle from scoping to technical docs and governance reviews
• Perform annual model reviews, backtesting and discrimination analyses
• Develop Basel 3.1 compliant methodologies and regulatory transformations
• Build Basel/IFRS 9 data pipelines with BCBS 239 governance
• Support ICAAP, stress testing, and macroeconomic scenario analyses
• Collaborate with internal audit, 3LOD governance and regulators on model validation

Skills

Python

SQL

SAS

Tableau

Power BI

Job description

IRB Modeler (Wholesale Banking / Mortgages)

Location: Mumbai

Role Overview:

We are seeking an experienced IRB Modeler to drive the development, refinement, and ongoing validation of advanced Internal Ratings-Based (IRB) credit risk models across Wholesale Banking and Mortgage portfolios. In this role, you will lead parameter estimation, ensure alignment with regulatory standards (e.g., UK PRA / Basel 3.1), and maintain robust data governance across the full model lifecycle.

Key Responsibilities:

• Parameter Development & Calibration: Design, build, and refine IRB credit risk parameters (PD, LGD, EAD/CCF) and maturity capital calculations for Wholesale Banking and Mortgage portfolios in line with supervisory requirements.
• End-to-End Model Lifecycle Management: Lead the full model lifecycle – from scoping, data extraction, and model design to technical documentation and presentation to 3LOD risk governance committees (e.g., GRC, BRC).
• Performance Monitoring & Backtesting: Conduct annual model reviews, calibration checks, backtesting, and discriminatory power analysis; identify performance deficiencies and implement remediation plans.
• Regulatory Transformation & Basel 3.1 Alignment: Research, design, and implement best-practice methodologies to comply with evolving regulations.
• Data Architecture & BCBS 239 Governance: Build automated, customer-level Basel and IFRS 9 data pipelines while ensuring adherence to BCBS 239 / RDARR principles regarding data quality, lineage, and auditability.
• Stress Testing & ICAAP Frameworks: Develop bespoke wholesale and retail RWA, PD, and LGD stress testing tools to support ICAAP, Climate Risk Stress Testing, and macro-economic scenario analysis.
• Model Validation & Audit Support: Collaboratively support independent model validation teams, internal audit, and regulatory reviews.
• Cross-Functional Analytics & Automation: Leverage advanced tools (Python, SQL, SAS, Tableau, Power BI) to automate parameter execution engines, perform portfolio analytics, and deliver executive-level risk reporting dashboards.
• Stakeholder Engagement & Governance: Act as a key technical contact for business line leaders, credit risk policies, and regulatory bodies to ensure model outputs align with underwriting strategies and risk appetite frameworks.