Senior Risk Model Leader

Key Leadership Role

As a leader in our organization, you will oversee the wholesale risk model development team and collaborate with senior stakeholders to implement robust risk governance and practices around quantitative models.

Responsibilities

• Establish and scale a Centre of Excellence for Wholesale Rating Models from the ground up
• Provide thought leadership and contribute to the development of best practices in model development and validation
• Stay updated on latest regulatory and industry updates and incorporate them into model design considerations
• Develop innovative solutions through independent research and analysis

Stakeholder Engagement

• Communicate effectively with Senior Management and Board-level committees to drive business outcomes
• 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
• Ensure governance and audit readiness through proper model documentation and transparent development practices

Technical Expertise

• Design and implement end-to-end processes for development, validation, and lifecycle management of Wholesale Rating Models
• Develop and validate a range of models including Corporate/Wholesale Rating Models, 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

Team 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

Model Performance Monitoring

• Outline goals of model monitoring considering accuracy and other relevant metrics based on model purpose
• Determine expected performance of respective models on historical data
• Implement monitoring tools to assess model performance continuously
• Communicate model performance to relevant stakeholders for prompt attention to potential problems
• Regularly review and improve model performance process based on feedback, change in underlying data, and evolving business requirements

Climatic Risk Analytics

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

Required Skills and Qualifications

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
• Proficiency in programming languages such as R and Python, data analysis using Excel and PowerPoint, and visualization skills
• Hold a degree in Statistics, Mathematics, Computer Science, Quantitative Finance, Economics, Engineering, or a related field
• Excellent communication skills with fluency in English, 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
• Capability to apply risk management concepts, analysis, and support to strategic decision-making processes
• Proven people and managerial leadership experience in matrixed and multi-jurisdictional organizations
• Outstanding interpersonal and influencing skills

Desirable:

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