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The successful candidate will be a key member of a team with primary responsibility to perform independent validation of internal credit risk rating models:
Independently assess whether models are fit for purpose - the scope includes newly developed / existing PD/LGD/EAD models for IRB/ECL retail and non-retail portfolios, Credit ECAP models and Credit Stress Testing models
Ensure the models are compliant with both regulatory requirements and internal model performance standards
Assist in setting validation guidelines and standard procedures
Conduct research on leading industry practices and review internal model performance standards
Exposure to other areas of risk management such as risk appetite setting, risk return analysis, ICAAP and credit concentration risk management etc.
Strong analytical, quantitative and computational skills with a good working knowledge of statistics
Good understanding of risk management concepts and banking products
Familiar with Basel II/III framework
Able to multi-task in a complex and changing environment
A team player as well as able to work independently
Strong working knowledge of Microsoft Office applications