Walk-in | Credit Risk Modelling - 10th October drive

Yes Bank Ltd.; Mumbai; On-site; INR 1,800,000 - 2,800,000; Full time

Job summary

Yes Bank Ltd. is seeking an experienced credit risk modelling professional to lead development and deployment of ECL models under IFRS 9 / Ind AS 109.

The role focuses on PD/LGD/EAD, scorecards, and internal rating frameworks, with strong emphasis on regulatory compliance and governance. You will work across Risk, Finance, IT, and Business teams to implement robust ECL methodologies, monitor performance, and prepare regulatory submissions.

Qualifications

• 7–8 years of experience in Credit Risk Modelling within a Bank or NBFC.
• Strong understanding of Internal Rating Models, Basel regulations, and IFRS 9 / Ind AS 109 ECL framework.
• Hands-on experience in development/implementation of PD, LGD, EAD, scorecards, or rating models.
• Good understanding of staging assessment, SICR, macroeconomic overlays, and provisioning methodologies.
• Strong analytical and statistical modelling skills.
• Proficiency in SAS, SQL, Python, R, or similar analytical tools.
• Experience handling large datasets and performing quantitative analysis.
• Excellent communication and stakeholder management skills.

Responsibilities

• IFRS 9 / Ind AS 109 ECL modelling & implementation for wholesale portfolios.
• Develop and maintain ECL models, staging assessments, and macro overlays.
• Monitor model performance; recommend enhancements based on trends.
• Collaborate with Finance, Risk, and Business teams for implementation.
• Support provisioning calculations, reporting, and regulatory submissions.
• Data extraction, cleansing, transformation from multiple source systems.
• Prepare dashboards and analyses for senior management and risk committees.
• Ensure RBI Basel IFRS 9 compliance and governance policies.

Skills

Credit risk modelling

PD/LGD/EAD

Statistical modelling

Regulatory compliance

Data analysis

Stakeholder management

Analytics tools

SAS

SQL

Python

R

Education

MBA

CA

FRM

CFA

Masters in Statistics

Tools

SAS

SQL

Python

R

Job description

Role & responsibilities

Team Member Credit Risk Modelling will be responsible for the development, enhancement, implementation, and monitoring of Internal Rating Models and Expected Credit Loss (ECL) models under IFRS 9 / Ind AS 109 frameworks for wholesale portfolios. The role requires strongexpertisein credit risk analytics, statistical modelling, regulatory compliance, and stakeholder management within a banking or NBFC environment.

The candidate shouldpossess7–8 years of relevant experience in credit risk modelling, with hands-on exposure to Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), scorecards, internal rating frameworks, and ECL implementation.

Key Responsibilities

IFRS 9 / Ind AS 109 ECL Modelling& Implementation

Support developmentandmaintenance ofExpected Credit Loss (ECL) models under IFRS 9 / Ind AS 109framework.

Implement staging assessment methodologies, macroeconomic overlays, SICR frameworks, and forward-looking adjustments.

Monitor model performance and recommend enhancements based on portfoliobehaviorand economic trends.

Collaborate with finance, risk, and business teams for smooth implementation of ECL methodologies within the Bank/NBFC systems.

Support provisioning calculations, management reporting, and audit/regulatory requirements.

Data Management & Analytics

Perform data extraction, cleansing, transformation, and analysis using large datasets from multiple source systems.

Analyse portfolio trends, creditbehaviour, migration patterns, and default characteristics.

Conduct statistical analysis and model diagnostics using SAS, SQL, Python, R, or similar analytical tools.

Prepare dashboards and analytical reports for senior management and risk committees.

Regulatory & Governance Support

Ensure compliance with RBI guidelines, Basel framework, IFRS 9 / Ind AS 109 standards, and internal model governance policies.

Prepare model documentation,methodologypapers,validationsupport documents, and regulatory submissions.

Support internal audit, model risk management, and regulatory inspection requirements.

Stakeholder Management

Work closely with Risk, Finance, Business, IT, and Model Validation teams for implementation and monitoring activities.

Present model methodologies, assumptions, and performance outcomes to senior stakeholders and committees.

Coordinate with cross-functional teams to ensuretimelyexecution of model-related initiatives.

Required Skills & Qualifications

7–8 years of experience in Credit Risk Modelling within a Bank or NBFC.

Strong understanding of Internal Rating Models, Basel regulations, and IFRS 9 / Ind AS 109 ECL framework.

Hands-on experience in development/implementation of PD, LGD, EAD, scorecards, or rating models.

Good understanding of staging assessment, SICR, macroeconomic overlays, and provisioning methodologies.

Strong analytical and statistical modelling skills.

Proficiency in SAS, SQL, Python, R, or similar analytical tools.

Experience in handling large datasets and performing quantitative analysis.

Excellent communication and stakeholder management skills.

Ability to independently manage projects and interact with senior management.

Preferred Qualifications

MBA / CA / FRM / CFA /Master’sdegree in Statistics, Mathematics, Economics, Finance, or related quantitative discipline.

Experience in model validation or regulatory interaction will be an added advantage.