This role is of high importance within Group Risk Management and will have a direct impact on the compliance of the company with regulatory mandates on model management. The impact of this role on the non-retail banking business would be direct and significant as the incumbent is required to develop and maintain credit risk and profitability models. The incumbent is expected to independently perform advanced analytics on the portfolio and continuously advise the Head of the team on emerging trends.
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Responsibilities
- Take a lead role in developing non-retail credit rating models, macro-overlay models, and LGD models, and participate in the development of retail banking rating models as required.
- Develop methodologies to ensure effective monitoring of the models and conduct regular PiT and TTC calibration and optimization of the deployed models as per regulatory guidance.
- Perform monthly ECL/Provisioning calculation and report as per agreed timelines, while also developing IFRS-based provision forecasting models for budgeting purposes.
Key Accountabilities
- Liaise with the validation team to build and maintain compliant models and perform model remediation as recommended.
- Review existing model development and ECL calculations to ensure a sound environment for identifying, assessing, measuring, monitoring, and controlling risks.
- Lead the development of risk models of Basel/IFRS9 components, ensuring compliance with regulatory requirements through robust modeling processes.
Requirements
- 7 - 12 years of experience in credit risk modeling, Basel II, and IFRS 9 implementation in the banking sector.
- Master's degree in quantitative/finance, professional engineering, or a related field, with professional qualifications such as FRM, PRM, or CFA being highly desired.
- Excellent credit risk modeling, analytical, and research skills, with experience working with large and complex data sets, including alternative data for credit models.
- Advanced user of statistical software (such as SAS and R or Python) and strong knowledge of handling Risk Technologies and its implementation.
- Ability to work independently on multiple tasks and projects with strong oral and written communication skills in English.
