Job Description
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 such models in credit decision, business strategies, risk appetite setting and provisioning and capital assessment.
Requirements:
- University degree in a quantitative discipline (e.g. Mathematics, Statistics, Financial Engineering etc.)
- Over 3 years of relevant experience in credit risk modelling.
- Ability for handling data and performing quantitative analysis.
- Strong statistical and risk modeling skills, and programming knowledge in SAS, SQL, Python or R is highly preferred.
- Good knowledge and competence in credit risk requirements, Basel requirements and internal risk grading.
- Experience in risk analytics or credit risk management in wholesale or consumer portfolios will be an advantage.
- Analytical and independent thinker
- Strong written and verbal communication skills
Candidate with more experience can apply for “Senior Risk Modelling Manager”