Assistant Manager - Model Monitoring/Model Validation - IFRS/SAS/Python - BFS

Looking for professionals with good experience in Credit Risk Analytics, someone who is very strong in Risk Model Monitoring & IFRS. Hands on experience in SAS is a must.

Responsibilities :

- Understand IFRS 9 account level and portfolio level models for secured and unsecured retail portfolios.

- Understand IRB (Basel internal rating based) models; including the components such as PD, LGD, EAD for secured and unsecured retail portfolios.

- Understand the difference between different IFRS 9 approaches i.e. sophisticated account level vs. simplified portfolio level.

- Understand the requirements of periodic model performance assessment and monitoring

- Understand the IFRS 9 model and IRB model functionalities and the data required to perform period model performance assessment and monitoring

- Own IFRS 9 and IRB portfolios and perform periodic model monitoring

- Present IFRS 9 and IRB monitoring results to internal risk committees and senior management

- Perform exploratory analyses to answer committee and senior management questions

- As IFRS 9 or IRB models are redeveloped, update the model monitoring procedure to reflect the redeveloped models. Work closely with model development team to understand model functionality and translate model development codes into model monitoring codes.

- Maintain and continue to upgrade the monitoring process based on modeller, model users and regulatory feedback.

- Retail Enterprise Risk Analytics, Group Model Validation, Model Risk Management, IFRS 9 ECL team.

Required skills :

- Experience in quantitative analytics with a clear ability for understanding the model and analysing data.

- Expertise in SAS

- Analytical and independent thinker with strong written and verbal communication skills

- Knowledge of banking risk management and Basel/CRR/EBA/IFRS 9 would be a plus.