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Major Group Retail portfolios are Advanced Internal Ratings Based (IRB) compliant. The team develops and manages Probability of Default, Loss Given Default and Exposure at Default AIRB models on annual basis. The responsibilities include:
Lead team of analysts which support annual validation process for various countries.
Perform Model & Scorecard Annual Review as per prescribed timelines
Perform Model & Scorecard Development and Enhancements
Support regional countries Model & Scorecard Annual Review. New Scorecard Development
Provide updates to various stakeholders including RAD, Credit, Business etc. at various forums including quarterly credit review etc.
Support the ongoing model Development /Changes for the IFRS 9 models. Provide guidance to countries on methodology issues
Lead team for ongoing parameter review and maintenance for UOB Singapore
Provide Updates to various stakeholders including Senior Management on ECL trends
Undergraduate degree in a quantitative programme, such as Statistics, Mathematics, Actuarial Science, Financial Engineering, etc. Business, Finance and Economics degrees with a strong quantitative focus and highly relevant working experience will be considered. Post graduate degree is an added advantage
Prior experience in BASEL models (PD, LGD, EAD) both development and Validation. Experience in IFRS9 models will also be a plus
>3 years of working experience in credit risk modeling and management, preferably in a retail banking environment. Consulting and risk vendor experiences will also be considered
Strong PC skills: SAS - Programming, Enterprise Guide, Enterprise Miner; SQL / AS400 query and database familiarity; MS Office applications, including advanced spreadsheet and VBA. Knowledge of Fermat Basel solution is a plus
Analytical mind with sound business insight, excellent communicator (verbal and written), highly meticulous, and self-motivated.
Self-starter, flexible with a proven ability to work well in teams, as well as being able to function with minimal supervision. People management experience is a plus.
Maturity that will enable the candidate to be a credible counterpart to business managers, and the ability to develop on-going 'trusted advisor' relationships based on the ability to understand, analyse, discuss and address key business challenges raised