VP, Model Development - Non-Retail, Risk Management Group

  • Competitive
  • Singapore
  • Permanent, Full time
  • DBS Bank Limited
  • 19 May 19

VP, Model Development - Non-Retail, Risk Management Group

Business Function

Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.

Responsibilities

  • Develop, implement and maintain Probability of Default (PD) models and credit risk methodologies for Corporate, Financial Institutions, and Specialized Lending portfolios, for regulatory (i.e. IRB and Stress Testing) purposes
  • Prepare and maintain clear and detailed documentation of model revisions and new model developments
  • Liaise with and support the technology team to implement models into various risk systems, providing model specifications and testing system functionality prior to deployment
  • Support the internal models' approval and governance processes, providing detailed explanations and justification of modelling decisions and assumptions and addressing potential issues, particularly along Model Validation's reviews and Internal Audit's reviews
  • Support the external models' approval and governance processes, providing necessary explanations, justifications and analyses, particularly along the relevant Supervisors' approval assessments and external Auditors reviews
  • Liaise with business and product management to provide risk analytics solutions for enhancing the credit risk-return trade-off
  • Research, propose and develop enhancements of existing models, to improve accuracy, risk discrimination, forward-looking capability and responsiveness to economic environment, considering the evolution in the relevant regulatory environment, academia and industry


Requirements
  • University graduate or post-graduate with major in Finance / Econometrics / Mathematics / Statistics or related quantitative disciplines.
  • Minimum 10 years of relevant experience in the development of internal rating models involving PD, LGD, and EAD.
  • Strong analytical, numerical, and problem solving skills.
  • Proven knowledge in the development of internal credit rating models (PD, EAD and LGD).
  • Well-versed in using programming languages such as: SAS, SQL, Microsoft Access, Microsoft Visual Basic.
  • Good interpersonal and communication skills.
  • Strong team player.
  • Able to work effectively and independently in a dynamic business environment and under pressure.
  • Credit analysis skills a plus.


Apply Now

We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.