Job Views:  
60
Applications:  6
Recruiter Actions:  0

Job Code

1032009

Assistant Manager/Manager - Risk Model Monitoring - IFRS/IRB - SAS/Python/R

2 - 10 Years.Bangalore
Icon Alt TagWomen candidates preferred
Posted 2 years ago
Posted 2 years ago

AM / Manager -Risk Model Monitoring, with good experience in SAS/Python/R, experience in IFRS/IRB is mandatory.

The Role Responsibilities :

Strategy :

- Monitor credit risk IRB and IFRS9 models for the measurement of PD, EAD and LGD for the Organization's wholesale portfolios

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

- Elevate the current monitoring outputs to best-in-class by adding analytical insights

- Ensure that all monitoring results and analysis comply with the Group monitoring standards

- Have good understanding specifically of IRB CRR and EBA requirements

Business :

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

Risk Management :

- Understand Model related uncertainty risk such as data, regulatory, business strategy, that have a direct impact on the model's performance

Governance :

- Ensure the monitoring process and models meet the Organization's Model Risk Policy and Model Family Standards

- Provide timely and high-quality responses to both internal and external queries and requests

Regulatory & Business Conduct :

- 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 the Organization. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.

- Lead to achieve the outcomes set out in the Organization's Conduct Principles: [Fair Outcomes for Clients; Effective Financial Markets; Financial Crime Compliance; The Right Environment.] -

- Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.

Key Stakeholders :

- Group Model Validation, Model Sponsors and Owners, Model Risk Management, Internal and External Audit and Regulators

Our Ideal Candidate :

- Has a 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/validating/monitoring predictive models

- 2-9 years of experience in a model development/validation/monitoring role

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Job Views:  
60
Applications:  6
Recruiter Actions:  0

Job Code

1032009

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