Manager - Credit Analysis - Wholesale Domain - Banking Captive

The Role Responsibilities:

1. This position is for a Manager with an advanced degree in a quantitative discipline; requires extensive experience in areas of statistics, applied mathematics, SAS programming language applied in the area of IRB, IFRS9 Model Development and Risk scorecards for retail banking / small business lending businesses.

2. The individual will use these skills in the development of IRB / IFRS9 Models, Credit Risk Scorecard and other risk analytics in retail banking / small business lending portfolios with the support of a dedicated team of Team Leads and Analysts / Senior Analysts.

3.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.

4. Continuously improve the models- performance and research on the latest modelling methodology and best industry practices, while meeting all regulatory and data constraints.

5. 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.

6. Maintain and continue to upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.

Qualifications:

- Bachelors / Advanced (Masters or higher) Degree in Statistics, Applied Mathematics, Operations Research, Economics, Engineering or another quantitative discipline

- Excellent understanding of WHOLESALE CREDIT RISK

- Significant experience in a similar role; at least 7 years of total experience in a retail banking / small business lending analytical function, of which 3-5 in-depth years experience in hands-on quantitative analysis & statistical modelling.

- 3+ years- experience in managing a relevant team is good to have

- Very good statistical programming skills in SAS (preferred) or similar, analytical skills and understanding of quantitative and statistical analysis

- Hands-on experience in statistical modelling, mining data and understanding data patterns is an absolute necessary to support / mentor the individual's team

- Demonstrated proficiency in Retail Risk Model Development is a must

- Experience in directly interacting with Business and exposure to International markets will be a plus