Yes Bank - Senior Team Member - Expected Credit Loss Analytics - Credit Risk Model Development

Expected Credit loss Analytics (ECL) - Credit Risk Model Development

Role: Senior Team Member Credit Risk Modelling Unit

- ECL Model Development and Implementation:

- Build and maintain statistical models to calculate Expected Credit Losses across different loan portfolios based on factors like borrower credit history, macroeconomic indicators, and industry trends.

- Implement the ECL model within the Bank's system to automatically generate provisioning requirements.

- Regularly review and update the ECL model to reflect changing market conditions and portfolio dynamics.

Data Management and Analysis:

- Collect and cleanse loan data from various internal systems to ensure accuracy for ECL calculations.

- Perform data analysis to identify trends and patterns impacting credit risk.

- Develop data visualization tools to present insights on credit risk metrics to senior management.

Regulatory Compliance:

- Ensure adherence to regulatory guidelines regarding ECL calculation and provisioning as per Ind AS 109.

- Prepare necessary reports and documentation to support regulatory audits.

Collaboration and Communication:

- Work closely with the credit risk team, finance department, and IT team to ensure accurate ECL calculations and smooth implementation of the ECL model.

- Communicate ECL related insights and risks to senior management and stakeholders.

Required Skills and Qualifications:

- Strong understanding of credit risk management and the ECL framework under Ind AS 109

- Expertise in statistical modeling techniques, including regression analysis, decision trees, and time series analysis.

- Proficiency in data manipulation and analysis tools like SQL, SAS, or Python

- Financial modeling skills and understanding of financial statements.

- Excellent communication and presentation skills to convey complex financial concepts to non-technical audiences.

- Relevant experience in credit risk management within a banking or NBFC environment