Chief Risk Manager

Chief Risk Manager

The primary objective of this position is to spearhead the wholesale risk model development team and collaborate with the Head of Risk Analytics and Capital Management in executing risk governance and practices around quantitative models.

Main ResponsibilitiesStrategic & Leadership Accountabilities

• Establish a cutting-edge Centre of Excellence for Wholesale Rating Models from scratch, driving scale and growth.
• Provide visionary leadership and contribute to developing best practices in model development and validation.
• Stay current with the latest regulatory and industry updates (Basel guidelines, IFRS 9, local regulations, rating agency methodologies) and incorporate them into model design considerations.
• Independently research and develop innovative solutions to enhance the wholesale risk management process.

Stakeholder Engagement

• Prepare presentations and communicate effectively with Senior Management and Board-level committees on key risk management strategies.
• Engage with multiple stakeholders across the credit lifecycle, including Limit Management, Collateral Management, RAROC, and Customer Rating.
• Review financial spreading logic in newly developed credit lifecycle systems to ensure accuracy and efficiency.
• Support governance and audit readiness through proper model documentation and transparent development practices.

Technical & Delivery Deliverables

• Design and implement end-to-end processes for developing, validating, and managing Wholesale Rating Models.
• Develop and validate a range of models, including Corporate/Wholesale Rating Models for Large Corporate, Mid Corporate, SME, Sovereign, FI, HNWI, Project Finance, and Specialized Lending.
• Explore new approaches for rating model development, focusing on low default portfolios.
• Master Rating Scale (MRS) calibration to ensure accurate risk assessment.

Team Management

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

Risk Model Monitoring

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

Climate Risk Analysis

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

Required Expertise

• Mandatory / Essential:
  • A strong foundation in Statistics and Mathematics, with hands-on experience in developing and validating Wholesale Rating Models (PD, LGD, EAD) and a deep understanding of model lifecycle best practices.
  • Proficiency in programming languages like R and Python, as well as data analysis and visualization using Excel and PowerPoint.
  • Hold a degree in Statistics, Mathematics, Computer Science, Quantitative Finance, Economics, Engineering, or a related field.
  • 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.
• 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.

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