Lead - Risk Management

Industry : Banking / Financial Services / Broking

Job Description : Responsible for enhancing and performing Internal Capital Adequacy Assessment Process (ICAAP) and prepare comprehensive ICAAP document for presentation to Board in line with Basel / RBI norms. Keep ICAAP policy updated in line with regulatory guidelines

Client Details

One of the fastest growing NBFCs in India.

Description:

1 Analysis and visualization of risk factors using database and analytics tool like SQL, Python/SAS, Power BI, Excel

2 Responsible for enhancing and performing Internal Capital Adequacy Assessment Process (ICAAP) and prepare comprehensive ICAAP document for presentation to Board in line with Basel / RBI norms. Keep ICAAP policy updated in line with regulatory guidelines.

3 Perform Stress Testing on material risks in line with RBI guidelines / Basel norms and Stress Testing Policy. Develop & maintain Stress Testing Framework

4 Credit Loss Modelling for the Corporate Finance Portfolio for ECL Provisioning

5 Maintain credit Models on Basel/IFRS 9 (PD, LGD, EAD) etc. for ECL (Expected Credit Loss) Calculations

6 Develop and maintain 'Risk-Based-Pricing' and 'RAROC' models for Corporate Finance portfolio

7 Query large data sets to draw insights from loan portfolio data to detect early warning indicators

8 Extensive data mining to monitor the changes in trends, outlook and review the portfolio quality and performance

9 Data Analysis and performance Tracking/Portfolio Management for the Corporate Portfolio

10 PD Modelling with Flow rates and Linear Regression, and Vasicek method

11 Perform Stochastic Stress Testing using Regression, Vasicek, CIR models

12 Perform portfolio analytics - Vintage, Waterfall, Through the door analysis etc.

13 Perform Portfolio deep-dive to identify emerging trends; contribute towards improving portfolio quality and reducing non-performing loans

14 Regulatory Report filing on Monthly/Quarterly/weekly basis

15 Design Guardrails for each product and monitor them for sensing & sending Early Warning Alerts

16 Monitor Macro/Micro/High Frequency indicators; keep a close monitoring on movement of these indicators and perform impact assessment.

Profile

- Post-Graduate (FRM / CFA preferred)

- Min 10+ Years of Work Exp.

- Understanding of Basel norms/IFRS 9 (PD, LGD, EAD), IND AS9, ICAAP, RAROC, Regulatory, Financial Concepts. Statistical Concepts (Econometrics), Data Science and Machine Learning algorithms,

Job Offer

To work with one of the leading NBFCs in India.

To apply online please click the 'Apply' button below. For a confidential discussion about this role please contact Sakshi Ahuja on +91 124 628 0702.

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