The primarily responsibility of this role involves managing, maintaining, updating, and monitoring the Expected Credit Loss (ECL) framework models, calculation rules and engines in line with internal policies and regulatory requirements.
Regularly maintaining, updating, monitoring all statistical models used in credit risk department in line with internal policy, Audit, and regulatory requirements.
Understanding of the iFRS9 tool on several environments [ R, SAS, RCO] with different contexts for different units/subsidiaries.
Have good understanding of Stress Test and ICAAP and help running these activities as required.
Understanding of data management and statistical tools such as SAS, R, Python etc, IFRS9 guidelines, Basel guidelines, and credit, market, liquidity & operational ??risk management tools
Principal Responsibilities, Accountabilities and Deliverables of Role:
Understanding of IFRS9 ECL provision numbers on quarterly basis through tactical tool for both group and units??? levels using different environments/contexts.
Timely and accurate ECL Computation on each quarter with ability to resolve model related issues for IFRS9
Engaging with all ABC Subsidiaries (Finance and Risk department), Business Units and IT in ECL generation/calculation process.
The activity is required to undertake units??? review of ECL numbers.
Help in generating IFRS9 ECL provision numbers, Stress Test, ICAAP and perform what if analysis based on requirement
Help team in generating the IFRS9 ECL run Timely and accurate perform activities-based frequencies of requirement
Ensure that all internal standards, policies, and rules on IFRS9 are maintained and updated regularly, participate in policy changes, and prepare impact of such changes??
Annually/ on request
Analytics skill of Econometric and Time Series used across different area of wholesale and retail banking [ PD, LGD, EAD etc.).
It helps to perform model development and testing related activities with confidence.
Knowledge of statistics and experience using statistical packages for analyzing datasets (Excel VBA, R, SAS, Python).
Implement and run these statistical tools based on requirement at hand
Monitor model performance, Validate, Calibrate the model parameter based on model risk management policy/standard, analyze the impact, and prepare and change of in parameter to senior management, implement the new calibrated parameter in system.
The activities critical based on regulatory requirement, model performance perspective and engage vendor if required for any off the shelf model or other requirement??
Job Context (Circumstances & environment surrounding the job):
Support periodic Expected Credit Loss provision computation: Analytical and model support as required for periodic computation of ECL numbers after checking for accuracy and to the satisfaction of the recipients.
Manage ECL Methodology: Ensure that the underlying framework and methodology provided are accurate and in line with Audit and regulatory expectations.
Establish & validation of integration of above process with various risk management systems: Ensuring that all critical information from other risk management systems such as credit workflow system, credit rating system, collateral management system, credit risk databases etc. are well integrated with ECL framework and systems.
Engaging with all ABC Subsidiaries and Business Units to provide guidance and training on ECL related queries and calculation.
Analytical ECL reports: Understand data requirements arising out of ECL reporting requirements and prepare analytical reports. ??Explain the change values ECL at more granular to higher lever across
Standard and Policy maintenance: Support Group Head of Credit Risk in keeping all IFRS9 standards and policies updated and reflect the same in underlying ECL computation.
Support Model enhancement and validation activities: Support Model monitoring, Model performance and validation across different model periodically and accurately based on model risk management policy and regulatory requirement.
Support other analytical activities: Support ICAAP, IFRS9 process and Assist Head of Model Risk Management on statistical, model related activities.
Ad Hoc Reporting: Other credit & risk reports preparation upon stakeholder???s request.
Strong knowledge of IFRS9 regulation
Good knowledge of Credit Risk measurement techniques such as risk ratings and fair understanding of other regulation such as Basel
Good knowledge of credit product such as loan, off balance sheet exposure, treasury, securities etc.
Strong skillset in Econometric and Times series model
Proficient in data management and modelling tool (SAS, SQL, R)
Good understanding of PD, LGD, EAD, Regression, IFRS9, ICAAP, Stress Testing
Good organizational skills.
Education / Certifications
A master???s degree with Quants background/ Professional certificate in Risk Management.
At least 10 years??? experience in a similar function with a large regional or global financial institution.