Senior Analyst - Model Calibration - Regulatory Credit Risk - PD/LGD/EAD

Roles & Responsibilities

- Conduct end to end model calibration for regulatory credit risk (PD, LGD and EAD) and provision (IFRS9) models.

As a subject matter expert, your mission would be:

- Driving automation of existing calibration exercises, and support team to build efficiency in model calibration processes

- Propose streamlining/automation project plan, including plan of analysis to be carried out for the missions

- Deliver calibration missions within agreed timelines, with desired quality benchmarks

- Support Model development team in investigations on data and model performance

- Ensure adherence to Group standards on calibration and Regulatory guidelines

- Manage interactions with Group model development team

- Prepare a report to communicate results and findings from data investigations and automation initiatives

EDUCATIONAL QUALIFICATION:

Bachelors in Engineering or Masters in a quantitative subject such as Computer Science, Mathematics or Economics