Manager, Model Monitoring

Full-time - Mid Level

Bangalore, IN

Credit Intermediation and Related Activities

About the position

The position involves monitoring credit risk IRB and IFRS9 models for the measurement of Probability of Default (PD), Exposure at Default (EAD), and Loss Given Default (LGD) for the bank's retail portfolios. The role encompasses the end-to-end model monitoring cycle, which includes data gathering, cleansing, documentation, and presentations to key stakeholders. The goal is to elevate the current monitoring outputs to best-in-class by adding analytical insights and ensuring compliance with the Group monitoring standards. Additionally, the role requires ensuring that the monitoring outputs are fit for purpose for regulatory capital and Expected Credit Loss (ECL) estimates, as well as for daily business usage, underwriting decisions, risk appetite decisions, and strategy design. Understanding model-related uncertainty risks that impact model performance is also a key aspect of the role, along with ensuring that the monitoring process and models meet the Bank's Model Risk Policy and Model Family Standards.

Responsibilities

• Monitor credit risk IRB and IFRS9 models for PD, EAD, and LGD measurement.
• Work on the end-to-end model monitoring cycle from data gathering to documentation and presentations.
• Elevate monitoring outputs by adding analytical insights.
• Ensure compliance with Group monitoring standards.
• Ensure monitoring outputs are fit for regulatory capital and ECL estimates, as well as for business usage.
• Understand model-related uncertainty risks that impact model performance.
• Ensure monitoring processes meet the Bank's Model Risk Policy and Model Family Standards.
• Display exemplary conduct and adhere to the Group's Values and Code of Conduct.
• Lead the team to achieve outcomes set out in the Bank's Conduct Principles.
• Identify, escalate, mitigate, and resolve risk, conduct, and compliance matters.

Requirements

• Understanding of risk data.
• Proficiency in SAS, SQL, or similar software.
• Understanding of retail credit risk models (IFRS9/IRB/scorecards).
• Degree in a quantitative discipline (Mathematics, Economics, Statistics, Computer Science, Financial Engineering, Engineering).
• 3-4 years of experience in a Retail model development/validation/monitoring role.

Benefits

• Core bank funding for retirement savings, medical and life insurance, with flexible and voluntary benefits available in some locations.
• Time-off including annual leave, parental/maternity (20 weeks), sabbatical (12 months maximum), and volunteering leave (3 days).
• Flexible working options based around home and office locations, with flexible working patterns.
• Proactive wellbeing support through Unmind, a digital wellbeing platform, development courses for resilience, and Employee Assistance Programme.
• Continuous learning culture with opportunities to reskill and upskill and access to various learning formats.
• Inclusive and values-driven organization that embraces and celebrates diversity.