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Senior Team Lead at Pylon Management Consulting
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Credit Risk Modeling Role - Bank (2-9 yrs)
The Role Responsibilities :
- Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the wholesale and retail portfolios.
- Continuously improve the models- performance and research on the latest modelling methodology and best industry practices, while meeting all regulatory and data constraints.
- Work on the end-to-end model development (PD, EAD, LGD) cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders.
- Maintain and continue to upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.
- Ensure the model outputs are fit for purposes not only for regulatory capital and ECL estimates but also for daily business usage, underwriting decisions, risk appetite decisions and strategy design.
- Participate in relevant model implementation and its user acceptance test to ensure models are appropriately implemented not only within the direct system environment but also its relevant downstream environments.
- Understand Model related uncertainty risk such as data, regulatory, business strategy, that have a direct impact on the model's performance.
- Ensure the modelling process and models meet the Model Risk Policy and Model Family Standards.
- Strong degree (preferably postgraduate) in a quantitative discipline (e.g. Mathematics, Economics, Statistics, Computer science, Financial Engineering, Engineering) with a clear ability for analysing data and developing statistical predictive models.
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