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Conduct regular performance measurement on discriminatory power and back testing and calibrate/re-develop the model when necessary in order to ensure the model can be used in ECL and economic capital calculations
Data Management and Analysis
Prepare data requested for ECL production on a monthly basis, review and revise all tables, fix any anomalies generated by the system and analyse the results in order to ensure an accurate calculation of the provision at account level for the bank when reporting to central bank
Support the line manager in conducting stress testing in order to assess the impact on bank profitability, capital and solvability and prepare executive and risk committee presentations
Assist the line manager in the annual Internal Capital Adequacy assessment exercise in order to provide reports to executives, ADCB risk committees and the Central Bank and ensure continuous improvement on internal assessment of risks
Advice and Guidance
Provide advice and guidance to various departments across the organization in order to assist them with validation of methodologies and models; policy and RAROC utilization
Conduct economic credit risk and concentration risk capital calculation on a quarterly basis and analyse the results in order to assess any increase in single name and sector concentration and report to senior management/central bank on a quarterly/annual basis
Conduct research on industry leading best practice to ensure that the bank's credit risk methodologies and models are continuously developed and refined
At least 7 years of experience in a credit risk modeling function (particularly for retail) in an international financial institution with implementation experience of third party risk system platforms such as MRA and FERMAT
Master's Degree in Statistics, Mathematics, Financial Engineering or equivalent quantitative field
Knowledge and Skills
Advanced understanding of models for credit risk parameters (PD, LGD and EAD) for both retail and wholesale
Advanced knowledge of Basel accord and IFRS9 regulation and compliance requirements
Deep understanding of credit risk capital calculation, stress testing and RAROC
Knowledge on SQL, SAS and VBA programming software