Key Responsibilities

1. Model Development & Enhancement

o Develop and implement advanced quantitative models for assessing credit risk, including

models for PD, LGD, and EAD.

o Work with large datasets to develop models that estimate credit risk exposure, focusing on

accuracy, robustness, and predictive power.

o Design and refine models to calculate Expected Credit Loss (ECL) under IFRS 9 and CECL

frameworks, ensuring compliance with accounting and regulatory standards.

o Continuously monitor and enhance existing models based on recent data, market conditions, and

regulatory changes.

2. Model Validation & Backtesting

o Validate and backtest credit risk models, ensuring they meet the required standards for

accuracy, consistency, and reliability.

o Develop validation frameworks for assessing model performance and ensuring models

accurately reflect credit risk under different economic conditions.

o Provide documentation of model assumptions, methodologies, and limitations, ensuring

transparency and compliance with internal governance and regulatory requirements.





o Conduct periodic performance reviews and backtesting of models to ensure they continue to

perform well over time and align with actual credit losses.

3. Expected Credit Loss (ECL) Modeling

o Lead the development of ECL models, calculating the credit loss provisions for financial

instruments in line with IFRS 9 or CECL.

o Develop robust methodologies for estimating PD, LGD, and EAD at a granular level (e.g., loan

type, sector, region), while incorporating macroeconomic factors.

o Collaborate with accounting, finance, and credit risk teams to integrate ECL models into the

firm’s risk management and financial reporting processes.

o Ensure that the ECL models reflect appropriate segmentation of portfolios and the application

of relevant adjustments for forward-looking information.

4. Credit Risk Stress Testing

o Lead the design and execution of credit risk stress testing processes to ass

📌 Manager (Mumbai)
🏢 Uniqus Consultech
📍 Mumbai