Job
Description
As a Senior Quantitative Analyst (Model Developer/Validator) specializing in credit risk modeling, your role will involve: - Leading the development and validation of sophisticated credit risk models for retail and wholesale portfolios - Developing and validating credit risk models such as PD, EAD, LGD, with a focus on Expert judgement-based PD models for Corporate, Specialised Lending, and Financial Institutions - Handling data preparation and preprocessing using tools like SAS, Python, R, and SQL - Collaborating with stakeholders to analyze and interpret complex model results and insights - Creating technical documentation for regulatory compliance, test plans, validation reports, and business requirements documents - Driving continuous model improvement by identifying optimization opportunities, implementing advanced modeling techniques, and enhancing model performance - Mentoring and providing technical guidance to junior team members to foster knowledge sharing and professional growth To excel in this role, you are expected to have: - 5-10 years of hands-on experience in credit risk model development and validation - Proficiency in SAS, Python, R, and SQL - Deep understanding of IFRS9 and CECL regulatory frameworks - Strong analytical and problem-solving skills - Excellent written and verbal communication abilities Preferred qualifications include: - Advanced degree in Statistics, Mathematics, Economics, or a related field - Professional certifications in risk management or financial modeling - Experience with IRB modeling, machine learning/advanced statistical modeling techniques - Knowledge of Basel regulatory guidance Your technical expertise should cover: - Model development (PD, LGD, EAD, Qualitative PD Models) - Programming (SAS, Python, R, SQL) - Regulatory knowledge (IRB, IFRS9, CECL) - Statistical modeling, data preprocessing, and machine learning techniques This position offers you the opportunity to play a vital role in enhancing credit risk modeling for diverse portfolios and contributing to the continuous improvement of models, all while fostering a culture of knowledge sharing and professional development within the team.,
