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Senior Recruitment Professional at Xcelyst Limited
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Model Developer - Retail/Wholesale Credit Risk (8-15 yrs)
Role will require closely working with the Enterprise Risk Analytics (ERA) team of our client (a large bank) which is responsible for developing and managing wholesale and retail IRB, IFRS 9 and stress testing credit risk models.
- Key responsibilities include helping the bank with various aspects of the model development, model monitoring and enterprise risk analytics
- End-to-end development of risk models (IRB, IFRS9, Custom Scorecards, stress testing and others) and other risk analytics for wholesale / retail banking and small business lending portfolios.
- Coordinate with regulatory policy experts in finalising the documentation template and items to be documented.
- Document the models as per PRA and SR 11-7 regulatory guidelines
- Support business implementation of Regulatory and Scoring models and providing analytical support to bank's businesses across the globe
- Develop summaries and documentation for PRA regulatory submissions. Depending upon the seniority represent the team for review/approval committees
Qualification Masters /MBA degree in a quantitative discipline - Mathematics, Statistics, Economics, Physics,
Financial Engineering, Finance. PhD will be a plus.
Skills Required
- Experience in model documentation, development, model validation or stress-testing
- Strong experience in end-to-end model development (PD, EAD, and LGD) cycle, from data gathering and cleansing to the documentation, presentations to key stakeholders and maintaining minutes of key decisions.
- Excellent knowledge of regulatory and risk management guidelines (e.g. Basel, EBA guidelines, IFRS9, Stress Testing, ECL etc.)
- Experience and proficiency in areas of statistics, applied mathematics; good understanding of wholesale and retail banking / small business / consumer finance products and business life-cycles
- Strong programming experience in more than one of the following - SAS, Python, R
- Excellent communication skills, both written and oral
- Analytical, Strategic and Conceptual thinking and Problem-solving skills
- Highly motivated, organized, attentive to details and me
Mandatory skills:
- Hands on Modelling skills in SAS - Must
- Strong understanding on PD/ LGD and stress testing - Must
- Strong understanding on economic capitals and enterprise risk model - Must
- Strong regulatory understanding covering US or UK or Europe requirement
- Strong skills into end to end model life cycle covering DATA, Modelling, Usage of the model and ongoing performance monitoring
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