Assist in IFRS 9 implementation
Carry out Model validation, calibration and calculation of the TTC PD in line with IFRS 9 standards
Assist in calculating Expected Credit Loss for the provisioning as per IFRS 9 standards
Review and validate the EAD model using facility and limit management data
Develop a framework for LGD data capture
Develop a governance framework for Model validation and Risk appetite
Assist in Basel Pillar 1 and Pillar 2 Reporting
Review results and refine CPM model / correlations as necessary
Assist in development of the Strategic Risk Management / Finance platform for ICAAP purposes (inc. Risk Appetite / Risk Capacity etc.)
Forecast ECAP and credit capital requirements over a 1-3 year time horizon, incorporating the 1-3 year Business Plan
Be responsible for Stress Testing & Scenario Analyses of Credit & Economic Capital in line with Basel II and internal requirements
Assist in RAROC model enhancements
Review / validate credit risk model on an annual or more frequent basis as required
Key Result Areas
- Assist in the implementation and parallel run of the IFRS 9
- Regular validation of the PD, LGD and EAD models
- Production of reliable metrics for Credit Portfolio Management
- Regular validation and refinement of CPM model
- Timely production of quarterly metrics and reports
- Assist in projection of ECAP and other metrics through 1-3 year planning cycle
- Develop an SOP / process flow integrating the various workflows and metrics
Knowledge, Skills and Experience
- At least 1-2 years of experience in banking
- Good understanding of financial accounting
- Basic knowledge of Basel II Accord and Pillar II issues
- Strong analytical skills and knowledge on Financial Risk Management
- Degree in quantitative field
- Professional Qualification / MBA would be a distinct advantage e.g. CFA / CA / FRM / PRM / Actuarial Qualifications
- Candidates must prove that they have knowledge of statistical and financial / economic concepts.
- Excellent computer skills (especially SAS, Excel, Visual Basic, SQL & Oracle)
- Team player, self starter, innovative and highly motivated.
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