Team Member - Risk Policy

Job Purpose and Responsibilities

This role involves managing and developing various risk calculation and modeling frameworks within Aditya Birla Finance Limited (ABFL) under regulatory and internal guidelines.

• Expected Credit Loss (ECL) Calculation: Compute ECL for diverse portfolios including LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Institutional, CMG Retail, Digital, Unsecured, and Mortgage segments.
• Automation: Implement automation of ECL calculation processes leveraging Python programming.
• Model Development and Maintenance: Design and develop Probability of Default (PD) models in line with Ind AS 109/IFRS 9 standards for both secured and unsecured portfolios. Test, validate, and document PD, Loss Given Default (LGD) models, and the overall ECL policy documentation.
• Internal Capital Adequacy Assessment Process (ICAAP): Enhance and develop ICAAP frameworks by conducting stress tests addressing risks beyond Pillar 1 requirements, covering credit, liquidity, IRBB, operational, and strategic risks. Develop compliant stress testing models and document the ICAAP processes thoroughly.
• Risk Appetite Statement and Enterprise Risk: Calculate various risk types based on key metrics, aggregate these to determine an Enterprise Risk score, and build respective models with continuous documentation and progress tracking.
• Value at Risk (VAR): Design, develop, test, and validate VAR models including back-testing and sensitivity analyses. Maintain comprehensive documentation for the VAR models and perform sensitivity testing on different portfolio segments.
• Audit Closure Support: Assist in completing statutory and internal audit closures as well as facilitating RBI audits for all covered portfolio segments (LC, MM, MEG, SEG, SCF, DIG SCF, CMG Institutional and Retail, Digital, Unsecured, Mortgage).