Senior Credit Risk Analyst

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

Location: Mumbai, INDRole: Assistant Vice President (AVP)Industry: Banking / NBFCExperience: 7–8 YearsWe 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 ResponsibilitiesIFRS 9 / Ind AS 109 & ECL ModellingDevelop, 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 & AnalyticsDevelop 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 ToolsExtract, 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 GovernanceEnsure 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 ManagementCollaborate 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 & Experience7–8 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 QualificationsMBA / 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 ProfileWe 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/RBICandidates with strong wholesale/corporate credit risk modelling experience will be preferred.