Manager/Analyst - Risk Analytics - BFS

Roles and Responsibilities :

- Monitor credit risk IRB and IFRS9 models for the measurement of PD, EAD and LGD for the bank's retail portfolios

- Work on the end-to-end model monitoring (PD, EAD, LGD) cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders

- Elevate the current monitoring outputs to best-in-class by adding analytical insights

- Ensure that all monitoring results and analysis comply with the Group monitoring standards

- Have good understanding specifically of IRB CRR and EBA requirements

Business :

- Ensure the monitoring outputs are fit for purpose not only for regulatory capital and ECL estimates but also for daily business usage, underwriting decisions, risk appetite decisions and strategy design

- Understand Model related uncertainty risk such as data, regulatory, business strategy, that have a direct impact on the model's performance

QUALIFICATIONS :

- Has a 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/validating/monitoring predictive models