Credit Risk Role - Model Validation - BFS

- In-depth and End to End Validation of Credit risk models using both classical statistical techniques and machine learning approaches. Models span various Businesses of the Bank including Consumer Finance, Personal loans, Mortgages, Micro-Finance, Small Business Banking, Credit Cards, Corporate Banking, etc. and include both Acquisition and Behavioral score cards as well.

- Collect and analyze large datasets to calibrate and validate credit risk models.

- Evaluate the creditworthiness of Clients/Businesses and predict potential losses.

- Collaborate with cross-functional teams - FLoD (Model Developers, Model Owners, Risk, Businesses), Bureau teams, etc. to opine on the utility of the credit risk models in business decision-making processes.

- Staying up-to-date with Banking industry trends and Global/Regional as well as Local regulatory requirements.

Other Requirements:

1. Strong work experience and practical understanding of at least one or more of the following regulatory regimes: US (FRB/OCC), UK (PRA/ECB), CBUAE (MENA), RBI (India), MAS (Singapore), HKMA (Hong Kong).

2. Strong work experience and/or in-depth practical understanding of Credit Risk models - PD (Probability of Default), EAD (Exposure in Default), LGD (Loss Given Default) models from either model development or model validation standpoint.

3. Sound work experience and good practical understanding of Statistical modeling techniques of Linear Regression, Logistic Regression; Machine learning approaches of Gradient Boosting (GBM), XGboost (Extreme Gradient Boosting), Cat-Boosting, and Random Forest. Time Series modeling knowledge approaches - ARIMA, ARIMAX would be added plus.