Vice President/Assistant Vice President - Credit Risk - Model Development - BFS

Key Accountabilities :

- Calibrate credit risk models, in order to maintain external permissions and internal approvals for use

- Validate and test performance of models; develop and deploy model monitoring scripts, Maintain model documents to required standards

- Stakeholder Management and Leadership

- Keep open dialogue with other modelers and validation teams on model developments and reviews

- Decision-making and Problem Solving

- The job requires strong analytical skills and ability to communicate technical information clearly in written and verbal form.

In particular, the job holder must possess the following skills :

- Ability to quickly adapt to new environments and systems

- A keen eye for detail

- Self-starter: motivated and disciplined

- Able to work in isolation and within a team environment, as required

- Risk and Control Objective

- Ensure that all activities and duties are carried out in full compliance with regulatory requirements,

- Has developed, validated, reviewed or applied statistical models within credit risk domain

- Understands the quantitative techniques used in developing and validating PD, LGD, and/or EAD models

- Demonstrates ability to work in an environment where modelling decisions are regularly challenged

Essential Skills/Basic Qualifications :

- Post graduate degree in a quantitative discipline, such as Mathematics, Statistics, Physics, Engineering. Background in Computer Science and Statistics is preferred.

- Excellent knowledge of machine learning and statistics, e.g. regression analysis, reject inference, decision trees, confusion matrix, cross-validation

- Numerical programming ability using R and/or Python, and working experience with SQL

- Experience in data visualization, cleaning, and feature extraction

Desirable skills/Preferred Qualifications :

- Familiarity and previous experience with the Latex document preparation system

- Knowledge of a one static typed language; C++, Java, C# or other programming languages