Credit Risk model

ROLE SUMMARY:

Conduct end to end model calibration and monitoring for regulatory credit risk (PD, LGD and EAD) and provision (IFRS9) models.

ROLE DESCRIPTION:

• Apply domain expertise (Basel/IFRS9) in model calibration/monitoring activities
• Manage intermediate level case studies and challenges with minimal supervision
• Perform root-cause analysis and resolve any team hurdles
• Identify, develop and implement process and project enhancements
• Know upstream and downstream processes
• Represent and contribute to internal forums and Market intelligence & Innovation

EDUCATIONAL QUALIFICATION

Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Economics or Finance, or a track record of performance that demonstrates this ability

ROLE QUALIFIERS

• Proven functional and domain proficiency in Basel and IFRS9 models
• Strong programming knowledge in SAS and R languages
• Hands on experience in IFRS9 and/or Basel model calibrations
• Demonstrated strong communication, negotiation, interpretation and problem-solving skills
• Ability to guide juniors team members on projects