Executive Leader

Lead Wholesale Risk Model Development

The Vice President will spearhead the wholesale risk model development team and collaborate with the Head of Risk Analytics to implement strategic practices around quantitative models.

Key ResponsibilitiesStrategic Leadership

• Establish a Centre of Excellence: Develop a best-practice centre for wholesale rating models, providing thought leadership and contributing to industry standards in model development and validation.
• Regulatory Compliance: Stay updated on regulatory developments (Basel guidelines, IFRS 9) and incorporate them into model design considerations.
• Innovative Solutions: Independently research and develop innovative solutions to enhance risk management.

Stakeholder Engagement

• Presentation and Communication: Prepare engaging presentations and communicate effectively with senior management and stakeholders.
• Multi-Stakeholder Collaboration: Engage with stakeholders across the credit lifecycle: Limit Management, Collateral Management, RAROC, Customer Rating.
• Governance and Audit: Support governance and audit readiness through proper model documentation and transparent development practices.

Technical Delivery

• End-to-End Process Design: Design and implement an end-to-end process for development, validation, and lifecycle management of wholesale rating models.
• Model Development: Develop and validate various models, including corporate/wholesale rating models and master rating scale calibration.
• New Approaches: Explore new approaches for rating model development for low default portfolios.

Team Management

• Team Building: Build, mentor, and lead a team of modelers and consultants.
• Capability Development: Drive capability building and continuous learning within the team through training, peer reviews, and knowledge sharing.

Wholesale Model Performance

• Model Evaluation: Outline the goals of model performance evaluation, considering factors like accuracy and other relevant metrics based on the model purpose.
• Expected Performance: Determine the expected performance of the respective models on historical data.
• Monitoring Tools: Implement monitoring tools to continuously assess model performance, including input data quality and predictions.
• Communication: Communicate model performance to relevant stakeholders to ensure prompt attention to potential issues.

Climate Risk Analysis

• Statistical Modeling: Develop statistical climate risk models, integrating economic and social data to understand climate risks.
• Climate Scenarios: Develop different climate scenarios based on various emission pathways and climate change projections.
• Adaptation Strategies: Based on statistical models, develop adaptation strategies to mitigate climate-related risks.
• Continuous Monitoring: Establish a system for continuous monitoring of climate data and update climate risk models regularly.

Knowledge and Skills

Mandatory Requirements:

• Strong Foundation: A strong foundation in statistics and mathematics, with hands-on experience in developing and validating wholesale rating models and a deep understanding of model lifecycle best practices.
• Programming Languages: Proficiency in programming languages such as R and Python, with expertise in data analysis and visualization using Excel and PowerPoint.
• Education: Hold a degree in statistics, mathematics, computer science, quantitative finance, economics, engineering, or a related field.
• Communication: Excellent communication skills, both written and spoken, with fluency in English, able to convey complex technical concepts clearly to both technical and non-technical stakeholders.

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