Job Purpose Job Purpose Description
ECL:
Calculation
To calculate ECL for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage.
Automation
To implement ECL Automation project using Python.
Build and maintain ECL model and documentation:
Development of Probability of Default models used in the computation of ECL for ABFL (secured and unsecured) portfolios in accordance with Ind AS 109/IFRS 9 guidelines.
Design, develop, test and validate statistical models for the entire product suite.
Responsible for the documentation of PD, LGD models and the ECL Policy.
ICAAP
Computation
Responsible for enhancing and developing the Internal Capital Adequacy Assessment Process (ICAAP) at ABFL. This involves stress testing of risk in excess of the Pillar 1 requirement including credit risk, liquidity risk, IRBB, operational risk and strategic risk.
Model Development
Development of stress testing models in compliance with the regulatory guidelines.
Documentation




Responsible for the documentation of ICAAP.
Risk Appetite Statement/Enterprise Risk
Computation of various risk types on the basis on key risk metrics.
Aggregate the various risk types to compute an Enterprise Risk score.
Build Model and maintain documentation and track necessary deliverables
VAR
Model Development
Design, develop and test VAR Models.
Model Validation
Perform Back-testing and sensitivity analysis of VAR model.
Documentation
Prepare and maintain documentation for the VAR model.
Sensitivity Analysis on various portfolio cuts:
Perform Sensitivity Analysis on various portfolio cuts.
Audit Closure
Statutory/Internal Audit
To support Audit closure for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage.
RBI Audit

To help in closing RBI audit.

📌 Team Member Risk Policy Maharashtra
🏢 Aditya Birla Capital
📍 Maharashtra