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Credit Risk Modelling Consultant

10 hours, 47 minutes ago
India
Lead
Data Scientist
Data Science and Analytics
Machine Learning Python SQL
Apply Now

Unison Group

Unison Group describes itself as a digital transformation and technology consulting firm focused on risk management, regulatory compliance, data and analytics, cloud engineering, AI/ML, BFSI/fintech, system integration, business intelligence, and IT development.

Technology consulting
Founded 2012
View All Jobs 12

Description

  • Design, develop, calibrate, and validate corporate rating models and retail/SME scorecards.
  • Define rating methodologies, risk segmentation, rating scales, score-to-grade mapping, and override rules.
  • Develop and maintain credit risk parameter models, including PD, LGD, EAD, CCF, migration, vintage, recovery, collateral, and utilization models.
  • Define early warning indicators and trigger frameworks and build customer-level deterioration monitoring models.
  • Measure and manage concentration risk across obligor, industry, geographic, and product dimensions.
  • Develop credit risk limit frameworks, monitor limit utilization, and support risk appetite implementation.
  • Design credit stress testing frameworks and scenario-based portfolio impact models for regulatory and ICAAP exercises.
  • Perform model validation activities such as back-testing, benchmarking, sensitivity analysis, stability testing, and override analysis.
  • Prepare model documentation and participate in model governance committees.
  • Support ICAAP, economic capital, provisioning, profitability, RWA, management reporting, and regulatory reporting requirements.

Requirements

  • Minimum 8+ years of experience in credit risk modelling.
  • Strong knowledge of risk management, Basel II / Basel III / Basel IV, IFRS 9, ICAAP, stress testing, and credit portfolio risk management.
  • Experience with statistical modelling, logistic regression, survival analysis, decision trees, machine learning techniques, time series analysis, and model calibration techniques.
  • Proficiency in Python, SQL, and Excel/VBA.
  • Preferred experience with OFSAA Risk Management Suite, SAS Credit Risk Solutions, Moody's Analytics, FIS Risk Solutions, Experian, or other credit risk platforms.
  • Preferred experience building or validating PD, LGD, EAD, internal rating, and stress testing models.
  • Banking domain experience in corporate banking, retail banking, and SME banking.
  • Regulatory interaction experience.
  • Understanding of model governance and audit/regulatory review processes.

Interested in this position?

Apply directly on the company website

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