Join our Regulatory & Financial Risk team in Bengaluru as a Consultant.

This role involves performing independent validation of Advanced IRB and Foundation IRB models, including PD, LGD, EAD, and CCF methodologies. You will assess model assumptions for diverse wholesale product exposures and evaluate conceptual soundness, data representativeness, and calibration methodologies.

We seek candidates experienced in corporate lending, project finance, commercial real estate, and private equity exposures, with a strong understanding of stress testing frameworks and regulatory interactions. An effective challenge and independent risk oversight mindset, coupled with attention to detail and stakeholder influencing skills, are crucial.

Perform independent validation of Advanced and Foundation IRB models for PD, LGD, EAD, and CCF. Assess model methodologies and assumptions for various wholesale product exposures like corporate lending, project finance, and real estate. Evaluate model conceptual soundness, data representativeness, risk differentiation, and calibration. Review model segmentation, downturn calibration, collateral treatment, and default definitions. Ensure regulatory compliance with Basel III/IV IRB requirements and regional rules. Conduct model performance testing, including discriminatory power, back-testing, and stability monitoring. Prepare high-quality validation documentation with clear findings and remediation actions. Support regulatory engagements and address model findings. Collaborate with Model Development, Credit Policy, and Data Governance teams.

A Master's degree or higher in Quantitative Finance, Statistics, Mathematics, or Engineering is desired.

We require 2 to 3 years of experience in modelling or validating Wholesale IRB capital models, IFRS9, or Climate Risk Modelling within large banking organizations.

Key technical skills include proficiency in Python, R, SAS, and SQL, alongside a strong understanding of credit modelling statistics.

Essential knowledge includes IRB rating system architecture, Basel III/IV capital rules for wholesale credit, and model risk governance expectations (e.g., SR 11-7).

Demonstrated ability to articulate quantitative findings to non-technical senior stakeholders is vital. Experience with corporate lending, project finance, commercial real estate, and private equity exposures is preferred.