Model Monitoring Role - Wholesale/Retail - IFRS - BFS

The Roles & Responsibilities:

Strategy

- Understand IFRS 9 account level and portfolio level models for secured and unsecured retail portfolios of Standard Chartered Bank

- Understand IRB (Basel internal rating based) models; including the components such as PD, LGD, EAD for secured and unsecured retail portfolios

- Understand the difference between different IFRS 9 approaches i.e. sophisticated account level vs. simplified portfolio level

- Understand the requirements of periodic model performance assessment and monitoring

- Understand the IFRS 9 model and IRB model functionalities and the data required to perform period model performance assessment and monitoring

- Own IFRS 9 and IRB portfolios and perform periodic model monitoring

- Present IFRS 9 and IRB monitoring results to internal risk committees and senior management

- Perform exploratory analyses to answer committee and senior management questions

- As IFRS 9 or IRB models are redeveloped, update the model monitoring procedure to reflect the redeveloped models.

Work closely with model development team to understand model functionality and translate model development codes into model monitoring codes.

- Maintain and continue to upgrade the monitoring process based on modeller, model users and regulatory feedback

Business

Ensure to test the model performance in order to determine whether 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 Processes

Participate in relevant model monitoring implementation and its user acceptance test to ensure monitoring tests are appropriately implemented

People and Talent

Lead through example and demonstrate the bank's culture and values.

Risk Management

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

Governance

- Ensure the monitoring process meet the Model Risk Policy and Model Family Standards

- Provide timely and high-quality responses to both internal and external queries and requests

Key Stakeholders

Retail Enterprise Risk Analytics, Group Model Validation, Model Risk Management, IFRS 9 ECL team

Our Ideal Candidate

- Experience in quantitative analytics with a clear ability for understanding the model and analysing data

- 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.