Job Description: Model Development Credit Risk

Location: Gurgaon and Bangalore
Employment Type: Full-Time
Notice Period: Immediate to 30 days Only

Role Overview
We are seeking an experienced Model Development professional to design, develop, and enhance advanced analytical models supporting Enterprise Credit Management (ECM), and portfolio risk use cases. The role focuses on building Scorecard Model, PD, LGD, and EAD models, ensuring robust statistical performance, regulatory alignment (CCAR), and business applicability.

Key Responsibilities
Develop, calibrate, and maintain credit risk models including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).

Support CCAR / stress testing frameworks, including scenario-based risk projections and model documentation.

Perform data preparation, feature engineering, variable selection, and model performance monitoring.

Ensure models are compliant with regulatory expectations, internal model governance, and risk policies.

Collaborate with model validation, risk strategy,



and business stakeholders to implement models into production.

Prepare detailed model development documentation, assumptions, and technical reports for audits and regulatory reviews.

Conduct back-testing, benchmarking, stability analysis, and periodic model recalibration.

Required Skills & Experience
4+ years of experience in Credit Risk Model Development.

Strong hands-on experience in Scorecard, PD, LGD, and EAD model development.

Proficiency in SQL for data extraction and analysis.

Strong hands-on experience in SAS or Python (mandatory) for model development and data manipulation.

Expertise in statistical and machine learning techniques, including logistic regression, linear regression, XGBoost, and Random Forest, with hands-on experience in model development and validation.

Experience with model performance metrics (Gini, KS, AUC, PSI).

Knowledge of banking regulations and risk management frameworks.

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