Looking for leaders having 10+Yrs of experience into banking domain, worked on wholesale risk modeling, should have experience in IFRS9/IRB/Basel, wholesale banking products with strong exp. in SAS.
ECL Analytics
- Deliver analytical insights into the wholesale and retail ECL. Work with Risk and Finance to produce the analysis needed to support the understanding and use of the ECL numbers.
- Complete - what-if- sensitivity analysis using alternative economic scenarios and/or different model or parameter changes.
Stress Testing Analytics
- Deliver analytical insights into the wholesale stress testing results. Produce the analysis needed to support the understanding of the results.
- Recommend enhancements to the existing approach to calculating the wholesale stress testing numbers.
Credit Risk Analytics
- Identify new approaches to improve the predictive power of existing and new models; and develop tools that can be used to improve the businesses credit decision making processes.
- Identify and implement tools that can used to provide additional analytical insight into the work being done within Enterprise Risk Management (e.g. stress testing, IFRS 9, Credit Risk modelling).
- Understand and assess how new techniques or model development tools (e.g. R or Python) can be used to enhance the Bank's model development and analytics.
Internal and External Compliance
- Comply with the Operational Risk Framework.
- Proactively support the implementation of the Group Model Risk policy.
- Have an understanding of the IFRS 9 requirements and home and host regulatory stress testing requirements.
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