Vice President, Specialist, Model Validation, Risk Management Group

Overview

Lead the independent validation of wholesale and retail credit risk models within the Risk Management Group, and establish model validation governance and policy.

What you'll do

• Conduct end-to-end independent validation of credit risk models, including wholesale models (PD, LGD, EAD for corporate, commercial real estate and other institutional exposures; stress testing; counterparty credit risk; credit rating models) and retail models (PD, LGD, EAD for mortgages, auto loans, credit cards and personal loans; application scorecards, behavioral scorecards and collections models).
• Critically evaluate model development methodologies, underlying assumptions, conceptual soundness and quantitative techniques.
• Assess the quality, completeness and appropriateness of data used in model development and ongoing monitoring.
• Verify the accurate and robust implementation of models within relevant systems.
• Review and challenge ongoing model performance monitoring frameworks and results, including backtesting, benchmarking and sensitivity analysis.
• Establish governance processes and model validation policy in line with local regulatory and group requirements.
• Prepare comprehensive validation reports detailing findings, limitations, recommendations and conclusions, and present findings to model owners, developers and relevant committees.
• Ensure models and validation practices comply with internal policies and external regulatory requirements (e.g., SR 11-7, CECL, IFRS 9, Basel Accords).
• Proactively engage with model developers to provide constructive challenge and guidance throughout the model lifecycle.
• Collaborate with model development teams, risk management functions, business lines, internal audit and regulators.
• Contribute to the enhancement of validation processes, methodologies and tools.

What you'll need

• 10+ years of experience in model validation or model development, with exposure to credit risk models.
• Demonstrable experience with model review and validation for both wholesale banking and retail banking.
• Understanding of technical modelling requirements across the model life cycle, covering data analytics, coding, development, deployment, monitoring and maintenance, for both traditional AI and Gen AI models.
• Capacity to adopt new modelling areas (e.g., climate risk and Agentic AI) and problem solving.
• Understanding of model governance requirements and principles.
• Deep understanding of credit risk concepts, including PD, LGD, EAD, ECL, credit ratings, credit scores and stress testing.
• Familiarity with relevant RBI and Basel guidelines.
• Understanding of financial products and business processes in both wholesale and retail banking segments.
• Exceptional analytical, problem-solving and critical thinking skills, with the ability to identify subtle model weaknesses and propose practical solutions.
• Excellent written and verbal communication skills, with the ability to articulate complex technical concepts clearly and concisely to technical and non-technical audiences.
• Meticulous attention to detail and a commitment to producing high-quality work.
• Ability to work independently and as part of a team in a fast-paced environment.
• Experience in a regulated financial institution environment.
• Strong proficiency in statistical modeling techniques: regression analysis, econometrics, time series analysis, and machine learning algorithms (e.g., logistic regression, decision trees, random forests, gradient boosting).
• Expertise in programming languages for data analysis and statistical modeling: Python, R, SAS.
• Experience with large datasets and data manipulation.

Nice to have

• Post-graduate or graduate degree in a quantitative discipline (such as Statistics, Mathematics, Quantitative Finance, Data Analytics or equivalent).
• Familiarity with database querying tools (SQL).

Details

• Location: Mumbai.
• Job: Analytics.
• Schedule: Regular.
• Employment type: Full time.