Retail Model Monitoring Role - Bank

Strategy: 

- 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

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

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 and models meet the Bank's Model Risk Policy and Model Family

- 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. 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 model monitoring

Key Stakeholders : 

- Group Model Validation, Model Sponsors and Owners, Model Risk Management

Our Ideal Candidate: 

- 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 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.