VP Credit Modelling

Black Turtle; Kolkata; Hybrid; INR 12,00,000 - 18,00,000; Full time

Job summary

An established industry player is seeking a seasoned professional to lead the development and validation of Credit Risk Economic Capital Models. This role demands expertise in quantitative fields, particularly in risk analytics and banking, with strong coding skills in Python, R, and SQL. You will manage a motivated offshore team while ensuring adherence to global standards and engaging with various stakeholders. If you have a passion for analytics and a proven track record in managing large teams, this is a fantastic opportunity to make a significant impact in a dynamic environment.

Qualifications

• 13+ years of experience in risk analytics and banking.
• Strong coding skills in Python, R, SAS, Matlab, SQL.
• People management experience leading large teams.

Responsibilities

• Lead development and validation of Credit Risk Economic Capital Models.
• Manage a large offshore team and engage with stakeholders.
• Adhere to global model standards during development and validation.

Skills

Python

R

SAS

Matlab

SQL

Credit Risk Analysis

Option Pricing

Monte-Carlo Simulations

Regulatory Risk

Stress Testing

Education

Master's degree in Quantitative Fields

Certifications like FRM, CQF, or SCR

Job description

Principal Responsibilities

• Lead the development, validation, and maintenance of Credit Risk Economic Capital Models (Wholesale Economic Response models) for both wholesale and retail clients.
• Demonstrate expertise in highly technical areas such as Option Pricing and Monte-Carlo simulations, along with a deep understanding of the Wholesale and Retail business environment and its credit products.
• Possess knowledge of portfolio risk drivers, their impact on capital requirements, and familiarity with regulatory capital and its components.
• Create SMEs within the team to handle more complex functional roles outside of GRA India. Engage with team leads, senior management, project owners, sponsors, model reviewers, and approvers.
• Adhere to global model standards during model development, validation, and monitoring. Develop a strong understanding of risk data flows from customer and product systems to finance and regulatory reporting systems.
• Translate and present technical work in a manner that facilitates stakeholder buy-in. Strong coding skills in Python, R, SAS, Matlab, SQL, etc., are essential.
• Manage a large, motivated offshore team. Relevant experience in banking domain analytics, regulatory risk, IFRS9 risk analytics, and stress testing.
• Gain good exposure to credit model methodologies and data requirements for Stress Testing, AIRB, and IFRS 9 modeling.
• Knowledge of AIRB/IFRS9 PD, LGD, or EAD credit model development is a plus. A decent understanding of regulatory rules is necessary. Certifications like FRM, CQF, or SCR are preferable.

Qualifications

• 13+ years of experience in relevant quantitative fields, preferably in risk analytics and banking.
• Must have people management experience, leading large teams for at least 2-3 years.
• Ability to adapt continuously to changing business environments, regulations, and tactics.
• Experience in resource management, training, fostering a compliance culture, and working with regulators.
• Relevant analytics experience in banking domain Regulatory Risk, IFRS9 risk analytics, and stress testing.
• Good exposure to credit model methodologies and data requirements for Stress Testing, AIRB, and IFRS 9 modeling.
• Knowledge of AIRB/IFRS9 PD, LGD, or EAD credit model development is a plus. Understanding of regulatory rules is required.
• Strong coding skills in Python, R, SAS, Matlab, SQL, etc., are essential. Certifications like FRM, CQF, or SCR are preferable.