Job Description
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.
