Manager - Risk Modelling & StressTesting

Job Purpose

Perform the validation, calibration and implementation of a suite of credit risk rating methodologies, models compliant with regulatory requirements that are compliant with both internal and external regulations.

Key Responsibilities

IFRS 9 model monitoring, validation and ensure that all models are validated and refined/ re-developed as per the governance framework.

Perform analysis on the analytical models used in stress testing and ICAAP to ensure the models are fit for purpose or not.

Develop and maintain a model inventory and ensure the inventory is complete, accurate, and consistent with the model governance framework.

Liaise with model owners and users to provide quantitative solutions in timely manner.

Coordinate with other quantitative analysts within the Bank to ensure that rating models and solutions are consistent and in-line with the Bank practices.

Ensure accuracy and completeness of archived information and related documentation to allow independent third party review of the validation work performed.

Perform data due diligence and data preparation required for the IFRS 9, Basel, Stress Testing, inline with the department's standards.

Ensure compliance with the approved policies, procedures, SLAs and regulatory requirements tomaintain quality standards and ensure risk mitigation.

Ensure all assigned tasks and projects are executed within the approved policies, procedures and SLAs of the department.

Education

Bachelor's/Master's degree in Applied Math, Applied Statistics, Actuarial Sciences, Economics, Computer Science.

Work Experience

Minimum of 6 – 8 years of work experience in model development or model validation in the Banking industry. In case of Master's degree experience req. may be relaxed by 2 years.

Climate Risk related Modelling both on physical and transitional is a must.