Credit Risk Modelling - ECL Model

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 strong expertise in credit risk analytics, statistical modelling, regulatory compliance, and stakeholder management within a banking or NBFC environment.

The candidate should possess 7–8 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 development and maintenance of Expected Credit Loss (ECL) models under IFRS 9 / Ind AS 109 framework.

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

Monitor model performance and recommend enhancements based on portfolio behavior and 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, credit behaviour, 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, methodology papers, validation support 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 ensure timely execution 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’s degree in Statistics, Mathematics, Economics, Finance, or related quantitative discipline.

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

Exposure to wholesale and retail credit risk portfolios preferred. Role: Assistant Vice President (AVP) – Credit Risk Modelling / IFRS 9 & Internal Rating Models