Assistant Manager - Credit Risk Modelling - IFRS/IRB

Looking for professionals with 2-5 years of experience in Credit Risk Model Development with strong hand-on expertise in IFRS or IRB. & any statistical tools like SAS/Python/R.

Responsibilities

- Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the Corporate, Institutional, and Commercial book.

- Continuously improve the models- performance and research on the latest modelling methodology and best industry practices, while meeting all regulatory and data constraints.

- Work on the end-to-end model development (PD, EAD, LGD) cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders.

- Maintain and continue to upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.

- Ensure the model outputs are fit for purposes not only for regulatory capital and ECL estimates but also for daily business usage, underwriting decisions, risk appetite decisions and strategy design.

- Display exemplary conduct and live by the Group's Values and Code of Conduct.

- Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.

- Be compliant to home and host regulatory requirements on modelling.

Skills

- Strong degree (preferably postgraduate) in a quantitative discipline (e.g. Mathematics, Economics, Statistics, Computer science, Financial Engineering, Engineering) with a clear ability for analyzing data and developing statistical predictive models.

- An analytical and independent thinker with strong written and verbal communication skills

- Experience in developing PD, LGD Risk models with tools like SAS/Python/R with good knowledge of banking risk management and Basel/CRR/EBA/IFRS 9.