Head of Credit Risk Modelling - Retail or Wholesale (Hong Kong)
LMA Recruitment, EA Licence No: 11C4684
May 10, 2019
To develop, implement and maintain quantitative models / scorecards and systems to assess the default likelihood, recovery expectations and volatility for different segments of the Bank's portfolio.
Roles and Responsibilities:
Develop, implement and maintain credit rating 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.
Monitor, back test and report performance of the models.
Work closely with independent model validators to ensure adherence to the governance framework for model deployment and ensure timely closure of validation issues.
Active engagement with stakeholders to develop analytic solutions using outputs from models in credit decision, business strategies, risk appetite setting and provisioning and capital assessments
At least 8 years of experience in the development and maintenance of quantitative credit risk models / scorecards for consumer and/or wholesale portfolios, with at least 3 years in management of a team.
Strong statistical and risk modeling skills, and programming knowledge in SAS, SQL, and/or Python/R.
Expert knowledge and competence in credit risk management, Basel requirements and internal risk rating.
Strong communication skills especially in explaining complex technical subjects in a simple/pragmatic way and stakeholder management.
Experience in leading and managing a team of analysts will be an added advantage.
If you mee the above criteria, do send your details in strict confidence soonest.
Internal Number: 5850904
About LMA Recruitment, EA Licence No: 11C4684
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