ICICI Bank
The team is responsible for estimation of expected loss for ICICI Group under U.S. GAAP and IFRS 9, model risk and model validation for expected loss models, design and implementation of Enterprise Risk Management and Risk Appetite framework, periodic reporting of risk positions to the Board/Board level Committees. The team is also responsible for design and implementation of stress testing framework for ICICI group and implementation of Basel advanced approaches and credit risk portfolio analytics. Team also carries out regulatory submissions at predefined frequencies.
Roles and Responsibilities:
- Deep understanding of the model/data construct and the theoretical/conceptual framework for model development
- Analyzing and interpreting trends or patterns in complex data sets
- Use of appropriate mathematical framework to analyze and interpret data sets
- Interacting with key internal/external stakeholders such as regulators, auditors, senior management etc.
- Identifying and acquiring relevant datasets and maintaining databases for large scale regulatory and financial disclosure requirement
- Maintaining data sanctity and data quality
- Identifying areas of automation/digitization and conceptualization/implementation of the identified areas of refinement
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