Chief Risk Modeller

Lead Wholesale Risk Model Development

As a seasoned risk management professional, you will lead the development of wholesale risk models and collaborate with the Head of Risk Analytics and Capital Management to drive effective risk governance and practices.

Key Responsibilities:

• Establish and scale a Centre of Excellence for Wholesale Rating Models from the ground up
• Provide thought leadership in model development and validation, and contribute to best practice guidelines
• Stay updated on regulatory and industry developments (Basel guidelines, IFRS 9, local regulations, rating agency methodologies) and integrate them into model design considerations
• Develop innovative solutions through independent research and analysis

Stakeholder Engagement:

• Communicate effectively with Senior Management and Board-level committees through well-prepared presentations
• Engage with multiple stakeholders across the credit lifecycle: Limit Management, Collateral Management, RAROC, Customer Rating
• Review financial spreading logic in newly developed credit lifecycle systems
• Support governance and audit readiness through proper model documentation and transparent development practices

Technical Delivery:

• Design and implement end-to-end processes for development, validation, and lifecycle management of Wholesale Rating Models
• Develop and validate various models, including Corporate/Wholesale Rating Models and Specialized Lending Models
• Explore new approaches for rating model development in low default portfolios
• Master Rating Scale (MRS) calibration

People Leadership:

• 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

Climate Risk Analysis:

• Develop statistical climate risk models and integrate economic and social data to understand climate risks' 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 regularly
• Incorporate existing and potential future policies and regulations related to climate change into model development
• Involve stakeholders in meeting processes to ensure comprehensive understanding of local conditions, priorities, and concerns

Requirements:

• Strong foundation in Statistics and Mathematics
• Hands-on experience in developing and validating Wholesale Rating Models and deep understanding of model lifecycle best practices
• Proficiency in programming languages such as R and Python, and expertise 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
• Able 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

Postgraduate or professional qualification in risk management or finance such as CFA, FRM, PRM is desirable. Experience of developing teams in a multi-jurisdictional and matrixed organization is also beneficial.

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