Sr. Consultant- Credit Risk Quant

Solytics Infotech; Pune District; On-site; INR 1,200,000 - 1,800,000; Full time

Job summary

Solytics Partners Careers seeks a skilled Credit Risk Modeler to support the development and maintenance of Internal Ratings-Based credit risk models. You will interpret regulatory requirements and use Python for data analysis while collaborating with various teams. Ideal candidates have 4-8 years of experience in credit risk modelling and a deep understanding of IRB regulatory frameworks, including CRR and CRD IV. This role is essential for ensuring compliance with regulatory standards.

Qualifications

• 4-8 years of experience in credit risk modelling, preferably within an IRB framework.
• Strong understanding of IRB regulatory frameworks including CRR, CRD IV, EBA guidance, and PRA SS11/13.
• Hands-on experience in developing PD, LGD, and EAD models.

Responsibilities

• Develop and maintain IRB credit risk models including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).
• Collaborate with independent model validation teams and other stakeholders.
• Prepare high-quality model documentation for internal governance and regulatory submissions.

Skills

Credit risk modelling

Python

Statistical modelling techniques

Analytical skills

Tools

SAS

R

Advanced Excel

Job description

We are seeking a skilled and motivated Credit Risk Modeler to support the development, implementation, and maintenance of Internal Ratings-Based (IRB) credit risk models across Retail, SME/Business Banking, and Corporate portfolios.

The role will play a key part in supporting the bank’s IRB permission application and ensuring ongoing compliance with regulatory frameworks such as CRR, CRD IV, and PRA expectations. The candidate will work within a quantitative modelling team responsible for delivering high-quality, regulatory-compliant credit risk models.

Key Responsibilities

• Develop and maintain IRB credit risk models including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).
• Support IRB model development across Retail, SME/Business Banking, and Corporate portfolios.
• Interpret regulatory requirements (CRR, CRD IV, EBA guidelines, PRA SS11/13) and translate them into robust modelling methodologies.
• Perform detailed analysis of loan-level datasets to identify key risk drivers and support model development.
• Use Python as the primary tool for data analysis, model development, and validation.
• Ensure models are developed in line with regulatory expectations and are defensible under validation and audit reviews.
• Prepare high-quality model documentation for internal governance and regulatory submissions.
• Collaborate with independent model validation teams, model risk governance, and other stakeholders.
• Support model lifecycle activities including development, testing, implementation, and periodic reviews.

Key Requirements

• 4-8 years of experience in credit risk modelling, preferably within an IRB framework.
• Strong understanding of IRB regulatory frameworks including CRR, CRD IV, EBA guidance, and PRA SS11/13.
• Hands-on experience in developing PD, LGD, and EAD models.
• Experience working with Retail, SME/Business Banking, and/or Corporate portfolios.
• Strong analytical skills with experience handling large loan-level datasets.
• Advanced proficiency in Python for data analysis and model development.
• Working knowledge of SAS, R, and advanced Excel.
• Strong understanding of statistical modelling techniques and risk drivers.
• Experience in preparing model documentation for regulatory and internal governance purposes.
• Ability to clearly communicate modelling approaches, assumptions, and outputs to stakeholders.