Senior Wholesale Risk Model Developer

Our organization is seeking a seasoned professional to fill the position of Senior Wholesale Risk Model Developer.

The primary objective of this role is to lead the wholesale risk model development team and collaborate with senior stakeholders in implementing effective risk governance practices.

• Risk Governance Responsibilities:

• Elevate our Centre of Excellence (CoE) for Wholesale Rating Models by developing innovative solutions and fostering a culture of continuous improvement.
• Contribute to the development of best practices in model development and validation, ensuring alignment with industry standards and regulatory requirements.
• Stay updated on the latest regulatory developments and integrate them into model design considerations, ensuring compliance and minimizing potential risks.
• Pursue research and development initiatives to enhance our risk management capabilities.

• Strategic Stakeholder Management:

• Prepare compelling presentations and effectively communicate with senior management and other key stakeholders.
• Nurture relationships 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, ensuring accuracy and reliability.
• Maintain governance and audit readiness through proper model documentation and transparent development practices.

• Technical Delivery:

• Design and implement an end-to-end process for development, validation, and lifecycle management of Wholesale Rating Models.
• Develop and validate various models, including Corporate/Wholesale Rating Models, such as Large Corporate, Mid Corporate, SME, Sovereign, FI, HNWI, Project Finance, and Specialized Lending.
• Explore novel approaches for rating model development in low default portfolios.
• Master Rating Scale (MRS) calibration, ensuring precision and accuracy.

• Capability Development & Team Leadership:

• Bolster and mentor a team of modelers and consultants, driving capability building and continuous learning.
• Foster a culture of knowledge sharing, peer reviews, and training within the team.

• Performance Monitoring:

• Determine expected model performance based on historical data.
• Implement monitoring tools to assess model performance continuously, focusing on input data quality and predictions.
• Communicate model performance to relevant stakeholders, ensuring prompt attention to potential issues.
• Regularly review and refine the model performance process based on feedback, changes in underlying data, and evolving business needs.

• Climate-Ready Analytics:

• Develop statistical climate risk models, integrating economic and social data to understand potential climate-related impacts.
• Create diverse climate scenarios based on varying emission pathways and climate change projections, assessing their effects on identified financial risks.
• Based on statistical models, develop adaptation strategies to mitigate relevant risks.
• Establish a system for continuous climate data monitoring and update climate risk models accordingly.
• Incorporate existing and future policies related to climate change into model development.
• Engage stakeholders in collaborative processes to ensure comprehensive understanding of local conditions, priorities, and concerns.

Required Skills & Qualifications:

• A strong foundation in Statistics and Mathematics, with hands-on experience in developing and validating Wholesale Rating Models.
• Proficiency in programming languages like R and Python, with expertise in data analysis and visualization using Excel and PowerPoint.
• 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, with excellent communication skills and fluency in English.
• 10-15 years of progressive risk management experience within the banking sector.
• A deep understanding of risk management concepts and methodologies gained through practical application and development of risk policy/frameworks.
• Demonstrated ability to apply risk management concepts, analysis, and support to strategic decision-making processes.
• Exceptional interpersonal and influencing skills, with personal credibility to influence stakeholders at all levels.

Key Requirements: