- Oversee the data extraction processes and write-back processes in the monthly ECL production run.
- Oversee the production run of ECL to ensure all business rules are appropriate and up to date.
- Oversee the results of credit parameters and ECL computation and provide support to make contingency adjustments, issue analysis and the trigger re-runs should there be any compromise of performance.
- Review the computed ECL results and provide business support to explain key drivers and trends to Country and Group reviewers
- Maintain implemented model templates, calculation flows and business rules on the SPLICE model implementation platform as well as the MEV simulation engine. Work closely with the IT teams to perform enhancements to the above to address model refreshes, new model implementations and requirements.
- Perform ECL simulation runs for the purpose of ECL stress testing. Perform forecasting of the ECL for CIC and Retail applying methodologies to forecast total ECL and ECL variables.
- Provide business support to other stake holders in the explanation and breakdown of simulated ECL results
- Provide input data to the IFRS9 Internal and External Reporting stream to be used for internal and external reporting.
- Strong understanding of Wholesale and Retail banking products
- Hands on experience in IFRS 9 model development for Retail and/or wholesale portfolios
- Hands on experience in IFRS 9 Impairment requirements
- Must have advanced SAS programming skills applied in a regulatory risk context
- Proficient with SAS Model Implementation Platform (MIP), SAS Business Rules Manager (BRM), SAS Risk & Finance Workbench (RFW) and SAS Visual Analytics (VA)
- Strong analytical and conceptualisation skills
- Good team player, with strong interpersonal and communication skills to work effectively with stakeholders from different functions
- Self-motivated person with a high level of drive, dedication and desire to excel consistently
- Focused and organised, with ability to prioritise and deliver to strict deadlines
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