Associate Director or Director, Risk Advisory Head of Modelling, Mumbai

About the role

BMI's Risk Advisory team provides specialist advisory services across credit risk modelling, model validation, IFRS 9 implementation, portfolio analytics and regulatory risk management.

What you'll do

• Credit Risk Model Development & Delivery
• Develop and review credit risk models using Excel-based rating agency frameworks, Python and statistical techniques including logistic regression
• Build and enhance IFRS 9 expected credit loss models, including PD, LGD, EAD and CCF components across both simplified and general approaches
• Develop roll-rate-based PD models using customer-level receivables data, portfolio-level data and ageing cohort analysis
• Apply advanced methodologies including TTC-to-PiT conversion, Vasicek modelling, survival PDs and term PD structures

What you need

• Excel
• Stakeholder management
• Credit risk
• IFRS
• Performance testing
• Process improvement
• Any graduate

Good to have

• Research
• Machine learning
• Deep learning
• Credit appraisal
• Regulatory affairs
• Python