Senior Risk Analyst - Wholesale Credit Modelling

The role sits within the Model Development team and is responsible for the development, enhancement, and documentation of Probability of Default (PD) models for wholesale credit portfolios. The individual will support both capital (IRB) and provisioning (IFRS 9 / CECL) modelling requirements, ensuring models are statistically robust, regulatory compliant, and well-documented. The role requires a strong quantitative background combined with practical programming experience in R or Python, and the ability to communicate complex technical findings to risk and senior stakeholders.

Key responsibilities

- Develop and maintain PD models for wholesale credit portfolios, including model design, variable selection, estimation, calibration, and segmentation, in accordance with internal model development standards and regulatory requirements (e.g. IRB, IFRS 9).
- Support capital and provisioning workflows by ensuring PD model outputs are fit for purpose across both regulatory capital (Basel IRB) and expected credit loss (ECL) provisioning frameworks.
- Prepare comprehensive model documentation covering conceptual design, data sources, methodology, assumptions, limitations, code, and results - ensuring reproducibility, transparency, and readiness for model validation and regulatory review.
- Conduct ongoing model performance monitoring, including back-testing, benchmarking, and sensitivity analyses to assess model stability and predictive accuracy over time.
- Perform statistical analyses and ad hoc investigations to support model redevelopment cycles, edge case testing, and the resolution of model findings raised during validation or audit.
- Organise and maintain supporting evidence for model development decisions,



data transformations, and assumption rationale, facilitating future reviews, audits, and regulatory examinations.
- Communicate model development outputs through formal technical reports and presentations to model validators, model owners, the Risk Committee, and senior management.
- Support the model risk governance process, including contributing to model inventory maintenance, model certification submissions, and policy compliance activities.

Key competencies
- Deep technical expertise in credit risk modelling, with hands-on experience developing PD models for wholesale exposures (e.g. corporates, financial institutions, sovereigns, or commercial real estate) under IRB and/or IFRS 9 / CECL frameworks.
- Robust quantitative modelling skills, including logistic regression, survival analysis, scorecard development, through-the-cycle (TTC) and point-in-time (PIT) calibration, and rating system design.
- Solid understanding of regulatory capital and provisioning requirements, including Basel III/IV IRB guidelines and IFRS 9 expected credit loss methodology.
- Proficiency in R as the primary development language, with well-structured, reproducible, and version-controlled code; candidates with strong Python skills and a willingness to adopt R will also be considered. Familiarity with SQL and SAS is advantageous.
- Experience in model development within Credit Risk; exposure to model validation or governance processes is beneficial and will aid in producing validation-ready deliverables.

Disclaimer: This job posting has been aggregated from external source. Role details, content, and availability are subject to change. Applicants are advised to confirm the latest information directly on the company website before applying.

📌 Senior Risk Analyst ? Wholesale Credit Risk Modelling (Karnataka)
🏢 Moodys Analytics
📍 Karnataka