Team Member - Risk Policy

Aditya Birla Capital; Maharashtra; On-site; INR 1,200,000 - 2,000,000; Full time

Job summary

Aditya Birla Capital is seeking a risk analytics professional to lead model development for ECL, PD, LGD, and ICAAP across ABFL portfolios in line with IFRS 9/Ind AS 109. You will build, test and document models to ensure accuracy and governance.

The role includes automation, back-testing, sensitivity analysis, and audit-ready documentation, collaborating with risk, finance and compliance teams to strengthen controls across portfolios.

Responsibilities

• Build and maintain ECL model and documentation
• Development of PD models used in the computation of ECL for ABFL portfolios (secured and unsecured) per IFRS 9/Ind AS 109
• Design, develop, test and validate statistical models for the entire product suite
• Documentation of PD, LGD models and the ECL Policy
• Enhance and develop ICAAP including stress testing of regulatory risk types
• Development of stress testing models per regulatory guidelines
• Documentation and audit support for ICAAP and VAR models
• Design, develop and test VAR models with back-testing and sensitivity analyses
• Prepare and maintain documentation for the VAR model
• Sensitivity analysis on portfolio cuts; audit closure support for listed portfolios

Job description

• To calculate ECL for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage.
• Automation:
• Build and maintain ECL model and documentation:
• Development of Probability of Default models used in the computation of ECL for ABFL (secured and unsecured) portfolios in accordance with Ind AS 109/IFRS 9 guidelines.
• Design, develop, test and validate statistical models for the entire product suite.
• Responsible for the documentation of PD, LGD models and the ECL Policy.
• ICAAP:
• Responsible for enhancing and developing the Internal Capital Adequacy Assessment Process (ICAAP) at ABFL. This involves stress testing of risk in excess of the Pillar 1 requirement including credit risk, liquidity risk, IRBB, operational risk and strategic risk.
• Development of stress testing models in compliance with the regulatory guidelines.
• Documentation
• Responsible for the documentation of ICAAP.
• Computation of various risk types on the basis on key risk metrics.
• Aggregate the various risk types to compute an Enterprise Risk score.
• Build Model and maintain documentation and track necessary deliverables
• VAR:
• Design, develop and test VAR Models.
• Perform Back-testing and sensitivity analysis of VAR model.
• Documentation:
• Prepare and maintain documentation for the VAR model.
• Sensitivity Analysis on various portfolio cuts:
• Perform Sensitivity Analysis on various portfolio cuts.
• Audit Closure:
• Statutory/Internal Audit:
• To support Audit closure for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage.