Assistant Manager/Manager/AVP - Risk Analytics

Job Description:

- Obtain and QA/QC all data required for CCAR stress loss model development.

- Build international primary CCAR stress loss models (e.g., Interthix, account-level PD models)

- Build international benchmark CCAR stress loss models (e.g. segmented econometric models)

- Perform all required tests and measures of developed models (e.g., sensitivity, accuracy, volatility)

- Recalibrate all models annually to incorporate latest data

- Deliver presentations to regulatory constituents on all CCAR models built

- Experience with the dynamics of unsecured products - with international credit cards and installment loans a strong plus.

- Active role in performing some of the analytical components of an econometric modeling-driven stress loss process (data collection, data integrity QA/QC/reconsilements, pre-processing, segmentation, variable transformation, variable selection, econometric model estimation, sensitivity testing, back testing, out-of-time testing, model documentation, & model production implementation

- Exposure to SAS

- Exposure to employing Argus' LookAhead (formerly Interthinx/Stategic Analytics) Dual Time Dynamics modeling techniques and software a significant value-add.

For more details, please contact:

Nina Joy

080 39281680