
Chief Model Strategist
1 week ago
The Vice President will lead a wholesale Risk model development team and collaborate with the Head of Risk Analytics and Capital Management in executing risk governance and best practices around quantitative models.
Key Responsibilities- Establish and scale a new Centre of Excellence (CoE) for Wholesale Rating Models from scratch, providing thought leadership and contributing to the development of best practices in model development and validation.
- Monitor regulatory and industry updates, including Basel guidelines, IFRS 9, local regulations, and rating agency methodologies, and translate them into model design considerations.
- Independently research and develop innovative solutions for risk management.
- Prepare presentations and communicate effectively with Senior Management and Board-level committees, engaging multiple stakeholders across the credit lifecycle.
- Review financial spreading logic in newly developed credit lifecycle systems and support governance and audit readiness through proper model documentation and transparent development practices.
- 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 and Master Rating Scale (MRS) calibration.
- Explore new approaches for rating model development for low default portfolios.
- Build, mentor, and lead a team of modelers and consultants, driving capability building and continuous learning within the team.
- Determine the expected performance of respective models on historical data and implement monitoring tools to continuously assess model performance.
- Communicate model performance to relevant stakeholders to ensure prompt attention to potential problems.
- Develop statistical climate risk models and 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, assessing potential impact on identified financial risk.
- A strong foundation in Statistics and Mathematics, with hands-on experience in developing and validating Wholesale Rating Models (PD, LGD, EAD).
- Proficiency in programming languages R and Python, with knowledge of data analysis and visualization using Excel and PowerPoint.
- A degree in Statistics, Mathematics, Computer Science, Quantitative Finance, Economics, Engineering, or a related field.
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