Team Member - Risk Policy

Role overview

This position supports the risk policy and model development agenda at Aditya Birla Capital in Maharashtra. The role focuses on credit risk measurement, capital adequacy, market risk modeling, audit support, and automation of key risk processes.

ECL and model development

• Compute Expected Credit Losses across the LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, and Mortgage portfolios.
• Drive automation of the ECL process through Python-based solutions.
• Develop probability of default models used in ECL calculations for secured and unsecured portfolios in line with Ind AS 109 and IFRS 9.
• Build, test, and validate statistical models covering the full product range.
• Prepare and maintain documentation for PD models, LGD models, and the ECL policy.

ICAAP and stress testing

• Contribute to the enhancement and development of the Internal Capital Adequacy Assessment Process.
• Carry out stress testing for risks beyond Pillar 1, including credit, liquidity, IRBB, operational, and strategic risk.
• Develop stress testing models in accordance with regulatory requirements.
• Document the ICAAP framework and related outputs.

Risk appetite and enterprise risk

• Calculate multiple risk categories using key risk indicators and metrics.
• Combine risk measures to arrive at an enterprise risk score.
• Develop and maintain models, supporting documentation, and follow-up trackers for deliverables.

VAR and sensitivity analysis

• Design, develop, and test Value at Risk models.
• Perform back-testing and sensitivity checks for VAR models.
• Document the VAR framework and related analysis.
• Run sensitivity studies across different portfolio segments.

Audit support

• Assist in closing statutory and internal audit observations for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, and Mortgage businesses.
• Support closure of RBI audit requirements.

Additional information

Location: Maharashtra, India. This is a full-time, on-site role. No salary, stipend, openings, start date, or application deadline were specified in the source.