AVP - Credit Risk - PD/LGD - Model Development

Description:

1. Opportunity to participate in the development of credit risk PD/LGD/CCF models for AIRB and stress testing

2. Opportunity to work on evolving topics such as climate risk, developing models for assessing the financial impact of climate scenarios on the bank's portfolio and enabling the transition towards a balanced future. Developing and integrating climate risk analytics in stress testing frameworks (e.g. impact on PD/LGD/RWA etc.)

3. Researching, developing, prototyping and implementing new modelling, calculation and reporting approaches in a continuous improvement cycle

4. Liaising internally with risk managers, including explaining model outputs, performing ad-hoc analysis, and answering technical or background questions on the models and requirements

5. Work closely with the global Core Credit Modelling team on various project aspects

6. Work on implementation of new methodologies in risk platforms including liaising with IT and vendors when necessary

7. Produce analyses required for regulatory reporting and analyses requested by regulators. Perform self-assessments to ensure that models satisfy various regulatory requirements

To excel in this role, Candidates should possess:

1. Roles in QAT are technical and hence even for a managerial position it will require candidates to be highly detail-oriented as this role requires a hands-on approach along with management oversight and undertaking hands-on tasks

2. Proven experience of PD/LGD and Climate Risk models would be an asset, preferably from within a risk management department. Some experience in bank regulatory capital, Basel II/III, stress-testing would be advantageous

3. Outstanding experience/knowledge in at least some of the following areas (in quant space): AIRB - LGD, PD and CCF Modelling, Climate Risk, Regulatory framework and rules (e.g. BASEL, CCAR etc.), Credit Portfolio Modelling - Default and Migration Risk, Risk Scenarios and Stress Testing, and Back-Testing.

4. Outstanding Quant skills and aptitude - you should have a good understanding of probability and statistics / other quant concepts used in the above areas

5. Proficient in technical skills - exposure to one or more of the below programming language/database:

6. Programming and Algorithms: R, SAS, Python VBA / advanced Excel, etc.

7. Database and SQL: MS Access, MySQL, Oracle etc.

Interested candidates can share their resumes or connect on 7410033329