This role is of high importance within Group Risk Management, with a direct impact on compliance with regulatory mandates on model management. The incumbent will develop and maintain credit risk and profitability models, conduct advanced analytics on the portfolio, and advise the Head of the team on emerging trends. The role requires independent thinking, strong communication, initiative, and team management.
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Responsibilities
- Take a lead role in developing non-retail credit rating models, macro-overlay models, and LGD models.
- Participate in the deployment and integration of non-retail credit models in the company’s systems and processes.
- Conduct regular PiT and TTC calibration and optimization of deployed models as per regulatory guidance.
- Perform monthly ECL / Provisioning calculations and develop IFRS-based provision forecasting models for budgeting purposes.
- Liaise with the validation team to build and maintain compliant models, perform model remediation as needed.
- Review existing model development and ECL calculations considering changing market conditions based on regulatory recommendations.
- Develop training programs for team members and stakeholders on quantitative analytics.
Requirements
- 7 - 12 years in credit risk modeling, Basel II, and IFRS 9 implementation in the banking sector.
- Master’s degree in quantitative/finance or a related field; Professional qualification like FRM, PRM, or CFA is highly desired.
- Excellent credit risk modeling, analytical, and research skills.
- In-depth knowledge of financial markets and products, including machine learning algorithms.
- Advanced user of statistical software (SAS, R, or Python) with knowledge of risk technologies.
- Strong communication skills in English and the ability to work independently on multiple tasks.
