Team Member - Risk Policy

Job description

**Job Purpose** Job Purpose Description - ECL: - Calculation: - To calculate ECL for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage. - Automation: - To implement ECL Automation project using Python. - Build and maintain ECL model and documentation: - Development of Probability of Default models used in the computation of ECL for ABFL (secured and unsecured) portfolios in accordance with Ind AS 109/IFRS 9 guidelines. - Design, develop, test and validate statistical models for the entire product suite. - Responsible for the documentation of PD, LGD models and the ECL Policy. - ICAAP: - Computation: - Responsible for enhancing and developing the Internal Capital Adequacy Assessment Process (ICAAP) at ABFL. This involves stress testing of risk in excess of the Pillar 1 requirement including credit risk, liquidity risk, IRBB, operational risk and strategic risk. - Model Development: - Development of stress testing models in compliance with the regulatory guidelines. - Documentation - Responsible for the documentation of ICAAP. - Risk Appetite Statement/Enterprise Risk: - Computation of various risk types on the basis on key risk metrics. - Aggregate the various risk types to compute an Enterprise Risk score. - Build Model and maintain documentation and track necessary deliverables - VAR: - Model Development: - Design, develop and test VAR Models. - Model Validation: - Perform Back-testing and sensitivity analysis of VAR model. - Documentation: - Prepare and maintain documentation for the VAR model. - Sensitivity Analysis on various portfolio cuts: - Perform Sensitivity Analysis on various portfolio cuts. - Audit Closure: - Statutory/Internal Audit: - To support Audit closure for LC, MM, MEG, SEG, SCF, DIG SCF, CMG-Insti, CMG Retail, Digital, Unsecured, Mortgage. - RBI Audit: To help in closing RBI audit.