Model Risk Management (MRM) Validation Specialist - Bangalore

Role Overview

This position is based in Bangalore and targets professionals with 5 to 13 years of relevant experience in Model Risk Management (MRM). The role involves working within a high-performing risk team to perform validation, monitoring, and governance of credit risk and regulatory models. Candidates will engage with diverse credit risk models spanning retail and wholesale portfolios, adhere to regulatory frameworks, and utilize advanced analytics within model governance processes. This opportunity suits individuals passionate about enhancing risk analytics capabilities, ensuring model validation quality, and upholding regulatory compliance in the banking and financial environment.

Primary Responsibilities

• Conduct comprehensive model validation and review as outlined in validated frameworks.
• Critically analyze and challenge model methodologies, assumptions, architecture, calibration, and effectiveness.
• Perform quantitative evaluations including backtesting, benchmarking, sensitivity analysis, and ongoing performance monitoring.
• Verify model adherence to regulatory mandates and internal governance policies.
• Validate credit risk models such as Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), Credit Conversion Factor (CCF), stress testing, and IFRS 9 Related models.
• Evaluate model performance metrics including ROC/AUC, KS statistics, Gini coefficient, and accuracy ratio.
• Compile validation documentation and convey findings to stakeholders and governance committees.
• Track and ensure implementation of corrective measures, maintaining strict governance compliance.
• Collaborate with model development teams and business units across multiple disciplines.
• Guide junior personnel and drive continuous improvements in processes.

Necessary Qualifications and Experience

• Minimum of 5 to 8 years experience with at least 3 years directly relevant to credit risk model development, validation, or monitoring; or consultant level with 9 to 13 years and 5+ years relevant experience.
• Hands-on expertise in PD, LGD, EAD, and CCF modeling.
• Familiarity with Basel II / Basel III standards, IRB models, and IFRS 9 requirements.
• Proficient in backtesting, benchmarking, sensitivity testing techniques, and statistical methods for performance evaluation.
• Strong analytical and problem-solving capabilities combined with excellent communication and stakeholder engagement skills.

Preferred Knowledge

• Experience with market risk models such as VaR, SVaR, FRTB, CVA, EEPE, and SIMM.
• Background in machine learning model validation and risk project management.
• Proven experience presenting complex findings to senior management and governance bodies.

Technical Expertise

• Proficiency in Python, SAS, or R programming languages.
• Strong capability in risk analytics, statistical modeling, and implementing model validation methodologies.

Educational Background

• Master's or postgraduate degree in Statistics, Mathematics, Economics, Engineering, Quantitative Finance, or similarly quantitative disciplines.
• Additional certifications in credit risk modeling, machine learning, or financial risk management are advantageous.

Preferred Professional Experience

Candidates having prior exposure in Banking, Financial Services, Investment Banking, Risk Consulting, Credit Risk Analytics, or Regulatory Risk Management will be given preference.

Additional Information

Qualified applicants interested in this role are invited to forward their updated resumes along with skill details to the recruitment lead. The role includes mentoring responsibilities and collaborative interaction across various stakeholders within the financial services domain.