IRB Modeler - Credit Risk - Wholesale Banking

Job location: [{"@type":"Place","address":{"@type":"PostalAddress","addressLocality":"Mumbai","addressCountry":"IN"}},{"@type":"Place","address":{"@type":"PostalAddress","addressLocality":"Navi Mumbai","addressCountry":"IN"}},{"@type":"Place","address":{"@type":"PostalAddress","addressLocality":"Maharashtra","addressCountry":"IN"}}] Work arrangement: Employment type: FULL_TIME Salary: "" Experience requirements: {"monthsOfExperience":96,"educational":{"credentialCategory":"bachelor degree"}} Education requirements: "" IRB Modeler (Wholesale Banking / Mortgages) Location: Mumbai Role Overview: We are seeking an experienced IRB Modeler to drive the development, refinement, and ongoing validation of advanced Internal Ratings-Based (IRB) credit risk models across Wholesale Banking and Mortgage portfolios. In this role, you will lead parameter estimation, ensure alignment with regulatory standards (e.g., UK PRA / Basel 3.1), and maintain robust data governance across the full model lifecycle. Key Responsibilities: - Parameter Development & Calibration: Design, build, and refine IRB credit risk parameters (PD, LGD, EAD/CCF) and maturity capital calculations for Wholesale Banking and Mortgage portfolios in line with supervisory requirements. - End-to-End Model Lifecycle Management: Lead the full model lifecycle - from scoping, data extraction, and model design to technical documentation and presentation to 3LOD risk governance committees (e.g., GRC, BRC). - Performance Monitoring & Backtesting: Conduct annual model reviews, calibration checks, backtesting, and discriminatory power analysis; identify performance deficiencies and implement remediation plans. - Regulatory Transformation & Basel 3.1 Alignment: Research, design, and implement best-practice methodologies to comply with evolving regulations. - Data Architecture & BCBS 239 Governance: Build automated, customer-level Basel and IFRS 9 data pipelines while ensuring adherence to BCBS 239 / RDARR principles regarding data quality, lineage, and auditability. - Stress Testing & ICAAP Frameworks: Develop bespoke wholesale and retail RWA, PD, and LGD stress testing tools to support ICAAP, Climate Risk Stress Testing, and macro-economic scenario analysis. - Model Validation & Audit Support: Collaboratively support independent model validation teams, internal audit, and regulatory reviews. - Cross-Functional Analytics & Automation: Leverage advanced tools (Python, SQL, SAS, Tableau, Power BI) to automate parameter execution engines, perform portfolio analytics, and deliver executive-level risk reporting dashboards. - Stakeholder Engagement & Governance: Act as a key technical contact for business line leaders, credit risk policies, and regulatory bodies to ensure model outputs align with underwriting strategies and risk appetite frameworks.