Team Lead – Retail Credit Risk Model Building

Job Purpose:

• Leadership role managing and overseeing the credit risk model building (rating models, pooling models, macro-economic models etc.), risk estimation and portfolio analytics across retail, SME and wholesale credit risk segments.
• The role will involve periodic risk reviews, highlighting concern areas in credit risk profile, enrichments to risk measurements, overseeing projects on automation and implementations, liaising with Finance, Operations, IT and Policy units, active engagement with Senior Management.

Job Responsibilities

Actionables

Leadership

• Lead development of advanced credit risk models for provisioning/capital requirements (IFRS, CECL, BASEL IRB) and internal risk management using statistical, econometric and machine learning techniques
• Manage team of quantitative analysts providing technical guidance and mentorship

Retail Model building

• Apply machine learning algorithms and advanced statistical techniques to enhance model performance
• Utilise big data tech for data processing and feature engineering
• Integrate external data sources to improve model accuracy
• Collaborate with IT and data engineering teams to ensure availability and quality of data for model development
• Ensure documentation practice is inculcated in the team

Policies and Procedures

• Develop/enrich/update policies and procedures for retail model building.
• Ensure new regulatory requirements are understood, analysed and impact assessment conducted.

Periodic submissions

• Ensure timely and quality submissions of Board/ Board Committee/Senior Management notes
• Presentations to Senior Management committees to provide updates, analyses.
• Communicate lucidly model performance and risk assessments to senior management

Model Validation

• Engage with Model Validation Unit to address the observations, improve model building with best practices

Regulatory and Audit

• Liaise with regulatory and statutory audit/ compliance/validation and related teams to address observations and ensure compliance to regulations.
• Respond to regulatory indents and observations and guide to closure.

Educational Qualifications

Key Skills

Post-graduate degree (preferably in Statistics or Economics degree with a strong quantitative underpinning) from a respected institution with an outstanding academic record.

Certifications desired: CFA/ FRM

• Team Management & excellent interpersonal skills
• Excellent quantitative and analytical skills
• Strong interpersonal / communication skills
• Good understanding of the regulatory guidelines with respect to capital adequacy, provisioning
• Should be able to manage and groom the team to develop required competencies

Experience Required

• Experience of 10-14 years & above in credit risk analytics, model development from reputed financial house
• Exposure to banking preferable
• Strong exposure to local and global regulatory guidelines
• Ability to handle team of analysts ensuring motivation in the team for quality and timely deliverables

Major Stakeholders

• Board/Board Committees
• Senior Management
• Audit & Compliance
• Regulators
• Risk teams
• Credit
• Business
• Finance, Credit Administration Dept., Operations, Trade
• IT