Senior Credit Risk Analyst

AVP – Credit Risk Modelling / IFRS 9 & Internal Rating Models

Location: Mumbai, IND

Role: Assistant Vice President (AVP)

Industry: Banking / NBFC

Experience: 7–8 Years

We are looking for an experienced Credit Risk Modelling professional to join our team as AVP – Credit Risk Modelling / IFRS 9 & Internal Rating Models.

The role will be responsible for the development, enhancement, implementation and monitoring of credit risk models, with a strong focus on PD, LGD, EAD, Internal Rating Models and Expected Credit Loss (ECL) under IFRS 9 / Ind AS 109.

The ideal candidate will have strong hands-on experience in credit risk analytics and statistical modelling within a Bank or NBFC, along with a good understanding of Basel regulations, RBI guidelines and model governance.

Key Responsibilities

IFRS 9 / Ind AS 109 & ECL Modelling

• Develop, enhance and maintain Expected Credit Loss (ECL) models under IFRS 9 / Ind AS 109.
• Implement and monitor staging, SICR (Significant Increase in Credit Risk) and forward-looking credit risk methodologies.
• Develop and apply macroeconomic scenarios, overlays and forward-looking adjustments.
• Monitor model performance and recommend enhancements based on portfolio behaviour and economic trends.
• Support provisioning calculations, management reporting and audit/regulatory requirements.
• Work closely with Risk, Finance, Business and IT teams to support model implementation.

Credit Risk Modelling & Analytics

• Develop and implement Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) models.
• Work on Internal Rating Models, scorecards and credit risk segmentation.
• Analyse portfolio performance, credit behaviour, migration patterns and default characteristics.
• Perform statistical analysis, model diagnostics, calibration and performance monitoring.
• Work with large datasets from multiple source systems.

Data & Analytical Tools

• Extract, cleanse, transform and analyse large credit-risk datasets.
• Use SAS, SQL, Python, R or similar analytical tools for statistical modelling and analysis.
• Develop analytical reports and dashboards for senior management and risk committees.

Regulatory & Model Governance

• Ensure compliance with RBI guidelines, Basel framework and IFRS 9 / Ind AS 109 requirements.
• Prepare model documentation, methodology papers and model monitoring reports.
• Support model validation, internal audit, Model Risk Management and regulatory inspections.
• Provide documentation and analytical support for regulatory submissions.

Stakeholder Management

• Collaborate with Risk, Finance, Business, IT and Model Validation teams.
• Present model methodologies, assumptions, performance and recommendations to senior stakeholders.
• Independently manage model-related projects and deliverables.

Must-Have Skills & Experience

• 7–8 years of relevant experience in Credit Risk Modelling within a Bank or NBFC.
• Strong hands-on experience in PD, LGD and/or EAD modelling.
• Strong experience with Internal Rating Models / Credit Rating Models.
• Hands-on exposure to IFRS 9 / Ind AS 109 ECL modelling and implementation.
• Strong understanding of ECL, staging assessment and SICR frameworks.
• Experience with macroeconomic variables, forward-looking adjustments and overlays.
• Good understanding of Basel regulations and RBI credit risk guidelines.
• Strong statistical modelling and quantitative analysis skills.
• Proficiency in one or more of SAS, SQL, Python or R.
• Experience working with large datasets and performing credit portfolio analytics.
• Strong understanding of model development, monitoring, calibration and performance assessment.
• 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 a related quantitative discipline.
• Experience in wholesale / corporate credit risk modelling.
• Exposure to retail credit risk portfolios.
• Experience in model validation or regulatory interaction.
• Experience supporting model governance, audit and regulatory requirements.

Ideal Candidate Profile

We are particularly interested in professionals who have a combination of:

Credit Risk Modelling + PD/LGD/EAD + Internal Rating Models + IFRS 9 / Ind AS 109 + ECL + Statistical Modelling + Basel/RBI

Candidates with strong wholesale/corporate credit risk modelling experience will be preferred.