Develop, implement and maintain credit rating, economic capital and IFRS expected credit loss models for the measurement and management of credit risk for different segments of the Bank's portfolios.
Develop and maintain user requirements, parameters and configurations of rating systems for different customer segments.
Active engagement with stakeholders to develop analytic solutions using outputs from such models in credit decisioning, business strategies, risk appetite setting and provisioning and capital assessment
Qualifications Key Roles & Responsibilities
Develop, implement and maintain credit risk models to ensure ongoing accuracy, compliance and relevance given the ongoing changes in economic, business and regulatory environment.
Monitor, back test and report performance of the models.
Work closely with model validation to ensure adherence to the governance framework for model deployment and ensure timely closure of validation issues.
Work closely with business and risk management to provide value adding risk analytics solutions for the enhancement of risk-return tradeoff in credit decisioning, business strategies, risk appetite setting and provisioning and capital assessment.
Qualifications & Skills
Good university degree in a quantitative discipline (e.g. Mathematics, Statistics, Financial Engineering etc) with a clear ability for handling data and performing quantitative analysis.
Analytical and independent thinker with strong written and verbal communication skills especially in explaining complex technical subjects in a simple/pragmatic way to business and senior management.
Strong data manipulation and computational skills preferably in SAS or SQL
At least 3 years of relevant experience in a related area
Experience in risk analytics or credit risk management in wholesale or consumer portfolios will be an advantage.