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Credit Risk Model Development and Validation
CRISIL
·
5-10 years
Kolkata, Mumbai, New Delhi + 4 more
1 vacancy
Credit Risk Model Development and Validation
Crisil
posted 3+ weeks ago
Job Role Insights
Flexible timing
Key skills for the job
Job Description
We are seeking an experienced Lead Model Developer/Validator with exceptional expertise in credit risk modeling. The ideal candidate will bring deep domain knowledge and advanced technical skills to drive sophisticated credit risk modeling initiatives across retail and wholesale portfolios.
Key Responsibilities:
- Lead end-to-end development and validation of advanced credit risk models, including, PD, EAD, LGD and Impairment models compliant with IFRS9/ CECL Standards
- Conduct comprehensive data preparation, preprocessing using tools including SAS, Python, R, and SQL
- Design, build, and implement robust credit risk models across retail and wholesale portfolios with rigorous User Acceptance Testing (UAT)
- Collaborate with cross-functional stakeholders to analyze, interpret, and communicate complex model results and insights
- Develop comprehensive technical documentation including:
- Model documentation
- Business Requirements Documents (BRD)
- Validation reports
- Regulatory compliance documentation
- Drive continuous model improvement through:
- Identifying optimization opportunities; Implementing advanced modeling techniques; Enhancing model performance and predictive accuracy
- Provide mentorship and technical guidance to junior team members, fostering a culture of knowledge sharing and professional development
Required Qualifications:
- 5-10 years of hands-on experience in credit risk model development and validation
- Proven expertise in modeling across retail and wholesale credit portfolios
- Advanced proficiency in: SAS, Python, R, SQL
- Strong knowledge of impairment and capital models (IRB approach)
- Deep understanding of IFRS9 and CECL regulatory frameworks
- Exceptional analytical and problem-solving skills
- Excellent written and verbal communication abilities
Preferred Qualifications:
- Advanced degree in Statistics, Mathematics, Economics, or related field
- Professional certifications in risk management or financial modeling
- Experience with machine learning and advanced statistical modeling techniques
- Knowledge of Basel regulatory requirements
Technical Skills:
- Model Development: PD, LGD, EAD
- Programming: SAS, Python, R, SQL
- Regulatory Knowledge: IRB, IFRS9, CECL
- Statistical Modeling
- Data Preprocessing
- Machine Learning Techniques
Employment Type: Full Time, Permanent
Read full job description
What people at Crisil are saying
Developer salary at Crisil
reported by
2
employees
with 2-3
years exp.
₹8.6
L/yr - ₹10.9
L/yr
26%
more
than the average Developer Salary in India
View more details
What Crisil employees are saying about work life
based on 1.7k employees
Flexible timing
Monday to Friday
No travel
Day Shift
Crisil Benefits
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Crisil Chennai Office Locations
Chennai Office
Thapar House,
43/44, Montieth Road,
Egmore,
Chennai
Chennai
600008
600008
Chennai Office
CRISIL GR&A, TVH -Beliciaa Towers, 3rd Floor, Tower-II, Block No.94, MRC Nagar
Chennai
600028
600028
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