Senior Wholesale Risk Model Development Leader

The Role of Wholesale Risk Model Development Leader entails leading the wholesale Risk model development team and collaborating with the Head of Risk Analytics and Capital Management in executing risk governance and best practices for quantitative models. Key Responsibilities include establishing a new Centre of Excellence (CoE) for Wholesale Rating Models, providing thought leadership on model development and validation, tracking regulatory updates, and developing innovative solutions.

Stakeholder Management involves preparing presentations, communicating effectively with Senior Management and Board-level committees, engaging with stakeholders across the credit lifecycle, reviewing financial spreading logic, and supporting governance and audit readiness through proper model documentation.

Technical & Delivery Responsibilities encompass designing and implementing end-to-end process for development, validation, and lifecycle management of Wholesale Rating Models, developing and validating various models, exploring new approaches for rating model development for low default portfolios, and Master Rating Scale (MRS) calibration.

People Management includes building, mentoring, and leading a team of modelers and consultants, driving capability building and continuous learning within the team, and fostering a culture of collaboration and knowledge sharing.

Wholesale Model Monitoring involves outlining the goals of model monitoring, determining expected performance of respective models on historical data, implementing monitoring tools to continuously assess model performance, communicating model performance to relevant stakeholders, and regularly reviewing and improving the model performance process.

Clinate Risk Analytics includes developing statistical climate risk models, integrating economic and social data to understand how climate risks may impact, developing different climate scenarios based on various emission pathways and climate change projections, assessing the potential impact of each scenario on identified financial risk, and establishing a system for continuous monitoring of climate data and updating climate risk models regulatorily.

Key Qualifications:

• A strong foundation in Statistics and Mathematics with 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, proficient in data analysis and visualization using Excel and PowerPoint, and knowledge of other relevant tools or platforms an advantage.
• 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, and ability to convey complex technical concepts clearly to both technical and non-technical stakeholders.
• 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 Skills:

• 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.