ML Engineer
Posted Updated
Description
The candidate will have responsibilities across the following functions:
Risk Modelling and Business Impact:
- Build and deploy models for:
- Probability of Default (PD)
- Loss Given Default (LGD)
- Exposure at Default (EAD)
- Fraud detection and capture rate optimisation.
- Translate business problems into measurable ML objectives and target variables.
- Drive improvements in risk decisioning, underwriting, and collections strategies.
Machine Learning and Model Development:
- Develop scalable ML models using:
- LightGBM, XGBoost, CatBoost
- Random Forest, CART, Logistic Regression
- Work extensively on tabular datasets (structured financial data)
- Build ensemble and stacking models for improved performance
Feature Engineering and Model Evaluation:
- Perform advanced feature engineering using:
- Weight of Evidence (WoE)
- Information Value (IV)
- Variable Clustering (VarClus)
- Evaluate models using:
- AUC-ROC / Gini coefficient
- F1 Score, Precision, Recall
- Handle class imbalance using:
- SMOTE
- Class weighting
- Threshold tuning
Model Optimisation and Explainability
- Optimise models using:
- Grid Search / Random Search
- Bayesian Optimisation (Optuna preferred)
- Ensure model interpretability using:
- SHAP values
- LIME
- Partial dependence plots
- Communicate model insights effectively to business and risk stakeholders
Data Engineering and Pipeline Development:
- Process large-scale datasets using:
- SQL (advanced level mandatory)
- PySpark / Hive / distributed systems
- Build robust data pipelines for model training and deployment
- Work with large transactional or bureau datasets
Requirements:
- 2 - 5 years of relevant experience in credit risk/fraud analytics.
- Strong hands-on experience with:
- Python (Pandas, Scikit-learn)
- SQL (complex queries, optimisation)
- Expertise in tree-based models (XGBoost/LightGBM).
- Experience with imbalanced datasets in financial use cases.
- Strong understanding of model evaluation metrics beyond accuracy.
Good to Have:
- Experience with:
- PySpark / distributed computing
- Credit bureau / transactional datasets
- Fintech / NBFC / banking domain
