Senior Wholesale Risk Model Development Leader

The main purpose of the role is to lead a team responsible for developing and implementing wholesale risk models, working closely with senior management and stakeholders to achieve strategic goals.

Key Result Areas

Strategic & Leadership Responsibilities

• Establish and scale a Centre of Excellence (CoE) for wholesale rating models from scratch
• Develop thought leadership and contribute to best practices in model development and validation
• Track regulatory updates and translate them into model design considerations
• Research and develop innovative solutions independently

Stakeholder Management

• Prepare presentations and communicate effectively with senior management and board committees
• Engage with multiple stakeholders across the credit lifecycle: Limit Management, Collateral Management, RAROC, Customer Rating
• Review financial spreading logic in newly developed credit lifecycle system
• Support governance and audit readiness through proper model documentation and transparent development practices

Technical & Delivery Responsibilities

• Design and implement end-to-end process for development, validation, and lifecycle management of wholesale rating models
• Develop and validate corporate/wholesale rating models including Large Corporate, Mid Corporate, SME, Sovereign, FI, HNWI, Project Finance, and Specialized Lending
• Explore new approaches for rating model development for low default portfolios
• Master Rating Scale (MRS) calibration

People Management

• Build, mentor, and lead a team of modelers and consultants
• Drive capability building and continuous learning within the team through training, peer reviews, and knowledge sharing

Wholesale Model Monitoring

• Outline model monitoring goals, considering factors like accuracy and other relevant metrics based on the model purpose
• Determine expected model performance on historical data
• Implement monitoring tools to continuously assess model performance. This includes monitoring input data quality, predictions
• Communicate model performance to relevant stakeholders to ensure prompt attention to potential problems.
• Regularly review and improve the model performance process based on feedback, change in underlying data and evolving business requirements.

Climate Risk Analytics

• Develop statistical climate risk models, integrate economic and social data to understand how climate risks may impact.
• Develop different climate scenarios based on various emission pathways and climate change projections. Assess the potential impact of each scenario on identified financial risk.
• Based on statistical models, develop adaptation strategies to mitigate relevant risks
• Establish a system for continuous monitoring of climate data and update climate risk models regulatorily.
• Incorporate existing and potential future policies and regulations related to climate change into the model development.
• Involve stakeholders in the meeting process to ensure a comprehensive understanding of local conditions, priorities and concerns.

Knowledge, Skills and Experience

Mandatory / Essential:

• Strong foundation in Statistics and Mathematics. Hands-on experience in developing and validating wholesale rating models (PD, LGD, EAD) and deep understanding of model lifecycle best practices.
• Strong programming languages such as R and Python, and proficiency in data analysis and visualization using Excel and PowerPoint. Knowledge of other relevant tools or platforms would be an advantage.
• Hold a degree in Statistics, Mathematics, Computer Science, Quantitative Finance, Economics, Engineering, or a related field.
• Passionate about risk management and advancing the science of credit risk modeling. Excellent communication skills, both written and spoken, with fluency in English. Ability to convey complex technical concepts clearly to both technical and non-technical stakeholders.
• Undergraduate degree in Finance, Risk, Economics, Engineering or other related field
• 10-15 years of progressive, multi-discipline risk management experience within banking sector
• Deep understanding of risk management concepts and methodologies gained through development and practical application of risk policy/frameworks
• Demonstrated capability to apply risk management concepts, analysis and support to strategic decision-making processes
• Demonstrable people and managerial leadership experience in a matrixed and multi-jurisdictional organization
• Outstanding interpersonal and influencing skills; Possess personal credibility and ability to influence stakeholders at all levels, particularly senior colleagues.

Desirable:

• Postgraduate or professional qualification in risk management or finance such as CFA, FRM, PRM.
• Experience of developing teams in a multi-jurisdictional and matrixed organization.
• Understanding and experience of BCBS frameworks, particularly those relating to risk and capital.