Senior Credit Risk Modelling Analyst / Manager (IRB Models)
Summary
Develops, calibrates and governs IRB credit risk models (PD, LGD, EAD) for mortgage and wholesale banking portfolios in line with PRA/EBA regulatory requirements. Day-to-day involves model monitoring, stress testing, validation support and translating findings for senior stakeholders, using SQL and Python.
Senior Credit Risk Modelling Analyst / Manager (IRB Models)
Location: Mumbai
Experience: 8 - 12 Years
Domain: Banking & Financial Services
Job Description
We are seeking an experienced Credit Risk Modelling professional to join our Risk Analytics team. The role involves the development, enhancement, and governance of IRB credit risk models for mortgage and wholesale portfolios in line with PRA/EBA regulatory requirements.
Key Responsibilities
- Develop and maintain IRB models including PD, LGD, and EAD methodologies.
- Lead model development activities across mortgage and wholesale/corporate banking portfolios.
- Perform model calibration, monitoring, validation support, and performance assessment.
- Conduct stress testing, sensitivity analysis, and regulatory impact assessments.
- Partner with Model Validation, Risk, Finance, and Regulatory teams to support model governance and submissions.
- Translate complex analytical findings into clear business insights for senior stakeholders.
- Support continuous enhancement of credit risk frameworks and regulatory compliance standards.
Required Skills
- 8 - 12 years of experience in Credit Risk Modelling / Risk Analytics.
- Strong experience in IRB/AIRB frameworks and regulatory capital models.
- Hands-on exposure to mortgage and/or wholesale banking portfolios.
- Knowledge of PRA and/or EBA regulatory guidelines is highly preferred.
- Strong programming skills in SQL and/or Python.
- Experience with statistical modelling techniques and large-scale data analysis.
- Excellent analytical, communication, and stakeholder management skills.
Preferred Qualifications
- Experience in IFRS 9, Stress Testing, Model Validation, or Regulatory Capital frameworks.
- Master's degree in Statistics, Mathematics, Economics, Engineering, Finance, or related quantitative discipline.
- Exposure to UK or European banking regulations.
Why Join Us?
- Opportunity to work on high-impact regulatory and risk modelling initiatives.
- Exposure to global banking portfolios and senior stakeholders.
- Collaborative environment focused on innovation, analytics, and professional growth.