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Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the Corporate, Institutional, and Commercial book
Continuously improve the models' performance and research on the latest modelling methodology and best industry practices, while meeting all regulatory and data constraints.
Work on the end-to-end model development (PD, EAD, LGD) cycle, from data gathering and cleansing to the
documentation and presentations to key stakeholders
Maintain and continue to upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.
Ensure the model outputs are fit for purposes not only for regulatory capital and ECL estimates but also for daily business usage, underwriting decisions, risk appetite decisions and strategy design.
Participate in relevant model implementation and its user acceptance test to ensure models are appropriately implemented not only within the direct system environment but also its relevant downstream environments.
Strong degree (preferably postgraduate) in a quantitative discipline (e.g. Mathematics, Economics, Statistics, Computer science, Financial Engineering, Engineering) with a clear ability for analysing data and developing statistical predictive models
Analytical and independent thinker with strong written and verbal communication skills
Knowledge of banking risk management and Basel/CRR/EBA/IFRS 9 would be a plus.