Manager - Risk Modelling & Stress Testing
Skills
About This Role
Job Purpose
Perform the validation, calibration and implementation of a suite of credit risk rating methodologies, models compliant with regulatory requirements that are compliant with both internal and external regulations.
Key Responsibilities
IFRS 9 model monitoring, validation and ensure that all models are validated and refined/ re-developed as per the governance framework
Perform analysis on the analytical models used in stress testing and ICAAP to ensure the models are fit for purpose or not.
Develop and maintain a model inventory and ensure the inventory is complete, accurate, and consistent with the model governance framework.
Liaise with model owners and users to provide quantitative solutions in timely manner.
Coordinate with other quantitative analysts within the Bank to ensure that rating models and solutions are consistent and in-line with the Bank practices
Ensure accuracy and completeness of archived information and related documentation to allow independent third party review of the validation work performed.
Perform data due diligence and data preparation required for the IFRS 9, Basel, Stress Testing, in line with the department’s standards.
Ensure compliance with the approved policies, procedures, SLAs and regulatory requirements to maintain quality standards and ensure risk mitigation.
Ensure all assigned tasks and projects are executed within the approved policies, procedures and SLAs of the department.
Education
Bachelor’s/Master’s degree in Applied Math, Applied Statistics, Actuarial Sciences, Economics, Computer Science.
Work Experience
Minimum of 6 – 8 years of work experience in model development or model validation in the Banking industry. In case of Master’s degree experience req. may be relaxed by 2 years.
Climate Risk related Modelling both on physical and transitional is a must.
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