Consultant at Pylon Management Consulting Pvt Ltd
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Manager/Senior Manager - Wholesale Model Development - IFRS9/IRB/AIRB/Basel (5-14 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.
People and Talent
- Lead through example and demonstrate the bank's culture and values.
- 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.
- Provide timely and high-quality responses to both internal and external queries and requests.
Regulatory & Business Conduct
- Display exemplary conduct and live by the Group's Values and Code of Conduct.
- Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
- Be compliant to home and host regulatory requirements on modelling
- Group Model Validation, Model Sponsors and Owners, Model Risk Management
Our Ideal Candidate
- 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
- Analytical and independent thinker with strong written and verbal communication skills
- Knowledge of banking risk management and Basel/CRR/EBA/IFRS 9 would be a plus.