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Develop, implement and maintain credit rating, economic capital and IFRS expected credit loss models for the measurement and management of credit risk for different segments of the Bank's portfolios including wholesale and retail
Handle various stress testing including IFRS 9 modeling impairment model development credit analytics related to risk management
Perform comprehensive analysis of credit risk models to facilitate Basel II / III IRB Approach and scorecard
Maintain risk appetite for the bank and liaise with regulators on model related issues
Active engagement with business and stakeholders to develop analytic solutions using outputs from such models in credit decisioning, business strategies, risk appetite setting and provisioning and capital assessment
Support the regular reporting and monitoring required ensuring that all models remain appropriate for the portfolio
Degree in a quantitative discipline in Mathematics, Statistics, Financial Engineering etc
Good experience in handling data and performing quantitative analysis
Analytical and independent thinker with strong written and verbal communication skills especially in explaining complex technical subjects in a simple/pragmatic way to business and senior management.
Strong data manipulation and computational skills preferably in SAS or SQL
Experience in risk analytics or credit risk management in wholesale or consumer portfolios will be an advantage.
Should you wish to have a confidential discussion, please contact Fabienne Cheng at 2520 5073
Internal Number: 5727660
About Pure Hong Kong, EA Licence No: 12S5954
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