Risk Model Development Lead

Job Overview

The purpose of the role is to lead a wholesale risk model development team and support the Head of Risk Analytics and Capital Management in implementing risk governance and best practices around quantitative models.

• Lead the establishment and growth of a Centre of Excellence (CoE) for Wholesale Rating Models from scratch
• Provide thought leadership and contribute to the development of best practices in model development and validation
• Keep up with the latest regulatory and industry updates (Basel guidelines, IFRS 9, local regulations, rating agency methodologies) and translate them into model design considerations
• Independently research and develop innovative solutions

Key Responsibilities

• Prepare presentations and effectively communicate with Senior Management and Board-level committees
• 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 and Delivery Responsibilities

• Design and implement an end-to-end process for developing, validating, and managing Wholesale Rating Models
• Develop and validate a range of models including:
• Corporate/Wholesale Rating Models including 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 and Development

• 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

Risk Model Monitoring

• Determine the goals of model monitoring, considering factors like accuracy and other relevant metrics based on the model purpose
• Establish the expected performance of the respective models on historical data
• Implement monitoring tools to continuously assess model performance, including input data quality and predictions
• Communicate model performance to relevant stakeholders to ensure 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 Analytics

• 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. Assess the potential impact of each scenario 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 climate risk models regularly
• Incorporate existing and potential future policies and regulations related to climate change into model development
• Involve stakeholders in the meeting process to ensure comprehensive understanding of local conditions, priorities, and concerns

Requirements

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.

Strong programming languages such as R and Python, proficient in data analysis and visualization using Excel and PowerPoint. Knowledge of other relevant tools or platforms would be advantageous.

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.

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.

Outstanding interpersonal and influencing skills; possess personal credibility and ability to influence stakeholders at all levels, particularly senior colleagues.

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