Job Details:
- Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the wholesale portfolio.
- Support continuous improvement efforts through research on techniques, processes and domain.
- Execute end-to-end model development steps. The responsibility will also include efforts on data preparation, documentation, presentation and maintaining minutes of key decisions made during the development lifecycle.
- Adopting best coding standards and automation to help create coding repositories for various methods used across modeling team.
Required Candidate Skills :
- Master's or Bachelor's degree in Quantitative Discipline (e.g. Mathematics, Statistics, Economics, Financial Engineering, Engineering)
- Knowledge of Regulatory and Risk management (e.g. Basel, IFRS9, Stress Testing, ECL etc.) Experience of working in Wholesale Lending Risk Analytics will be an advantage.
- Software Skills: SAS, Python, R
- Strong communication skills
Didn’t find the job appropriate? Report this Job