Responsibilities for the job:

1. Responsible for performing Enterprise Risk Management activities to comply with regulatory expectations and guidelines
2. Management & maintain enterprise-wide Risk Management Policies & processes
3. Responsible for enhancing and performing Internal Capital Adequacy Assessment Process (ICAAP) and prepare comprehensive ICAAP document for presentation to Board in line with Basel / RBI norms. Keep ICAAP policy updated in line with regulatory guidelines.
4. Enhance governance & oversight of all risks under ERM framework e.g. Market Risk, Operational Risk, Compliance Risk
5. Set-up & monitor Risk Appetite Framework for the organization for presentation to Board
6. Track RBI Circulars & guidelines pertaining to Risk Management and anchor implementation / compliance
7. Develop & maintain Stress Testing Framework - perform Stochastic Stress Testing using Regression, Vasicek, CIR models
8. Perform Stress Testing on material risks in line with RBI guidelines / Basel norms and Stress Testing Policy.
9. Develop and maintain ‘Risk-Based-Pricing’ and ‘RAROC’ models for Corporate, SME and Retail finance products
10. Monitor Macro/Micro/High Frequency indicators; keep a close monitoring and perform impact assessment.
11. Perform Portfolio deep-dive to identify emerging trends; contribute towards improving portfolio quality and
12. reducing non-performing loans
13. Regulatory Report filing on key Risk & compliance matters
14. Design Guardrails for each product and monitor them for sensing & sending Early Warning Alerts
15. Understanding of Credit Models on Basel/IFRS 9 (PD, LGD, EAD) etc. for ECL (Expected Credit Loss) Calculations

Work Experience:

Min 10+ Years of work exp.

Education:

Post-Graduate (FRM / CFA preferred)

Primary Skill:

Basel norms/IFRS 9 (PD, LGD, EAD), IND AS9, ICAAP, RAROC, Regulatory, Financial Concepts

Statistical Concepts (Econometrics), Data Science and Machine Learning algorithms,

Technical Skills:

• SQL,
• Python,
• Power BI
• SAS enterprise guide