A reputable banking company is looking for Credit Risk Models Manager to be based in Singapore, on 12 months contract. This is focusing on Credit Risk Analytics.
- Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the wholesale and retail portfolios.
- Continuously improve the models’ performance and research on the latest modelling methodology and best industry practices, while meeting all regulatory and data constraints.
- Work on the end-to-end model development (PD, EAD, LGD) cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders.
- Maintain and continue to upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.
- Ensure 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.
- Participate in relevant model implementation and its user acceptance test to ensure models are appropriately implemented not only within the direct system environment but also its relevant downstream environments.
- Understand Model related uncertainty risk such as data, regulatory, business strategy, that have a direct impact on the model’s performance.
- Ensure the modelling process and models meet the Model Risk Policy and Model Family Standards.
What you'll need to succeed
- Strong degree (preferably postgraduate) in a quantitative discipline (e.g. Mathematics, Economics, Statistics, Computer science, Financial Engineering, Engineering) .
- Hands on credit risk modelling/validation experience.
- Strong programming and coding in SAS/R/Python.
- Knowledge of credit modelling regulations on Basel/CRR/EBA and IFRS 9 regulations.
- This role is open to Singaporean or PR holder, please state this in your CV.
What you'll get in return
The company does provide attractive remuneration for their employees. Besides that, you will have the opportunity to be part of a well-known banking company.