Senior Leader, Wholesale Risk Models

At our organization, we are seeking a strategic leader to oversee the development and implementation of wholesale risk models. The successful candidate will be responsible for leading a team of modelers and consultants, driving capability building and continuous learning within the team, and communicating effectively with senior management and board-level committees.

• Strategic & Leadership
  • Establish and scale a new Centre of Excellence for Wholesale Rating Models from the ground up, ensuring seamless integration with existing processes and stakeholders.
  • Provide thought leadership and contribute to the development of best practices in model development and validation, staying ahead of regulatory and industry updates.
  • Track latest regulatory and industry updates (Basel guidelines, IFRS 9, local regulations, rating agency methodologies) and translate them into model design considerations, ensuring alignment with business objectives.
  • Independently research and develop innovative solutions to drive business growth and improve risk management capabilities.
• Stakeholder Management
  • Prepare presentations and communicate effectively with Senior Management and Board-level committees, providing clear and concise insights into model performance and risk exposure.
  • Engage with multiple stakeholders across the credit lifecycle: Limit Management, Collateral Management, RAROC, Customer Rating, ensuring smooth collaboration and information sharing.
  • Review financial spreading logic in newly developed credit lifecycle system, identifying areas for improvement and implementing changes as needed.
  • Support governance and audit readiness through proper model documentation and transparent development practices, ensuring compliance with regulatory requirements.
• Technical & Delivery
  • Design and implement end-to-end process for development, validation, and lifecycle management of Wholesale Rating Models, ensuring scalability and adaptability to changing business needs.
  • Develop and validate a range of models including Corporate/Wholesale Rating Models, Large Corporate, Mid Corporate, SME, Sovereign, FI, HNWI, Project Finance, and Specialized Lending, leveraging expertise in statistics and mathematics.
  • Explore new approaches for rating model development for low default portfolios, driving innovation and improvement in risk management capabilities.
  • Master Rating Scale calibration, ensuring accurate and consistent rating outputs.
• People Management
  • Build, mentor, and lead a team of modelers and consultants, fostering a culture of continuous learning and professional development.
  • Drive capability building and continuous learning within the team through training, peer reviews, and knowledge sharing, ensuring expertise and skills keep pace with evolving business needs.
• Model Monitoring
  • Outline the goals of model monitoring, considering factors like accuracy and other relevant metrics based on the model purpose, ensuring alignment with business objectives.
  • Determine the expected performance of the respective models on historical data, identifying areas for improvement and implementing changes as needed.
  • Implement monitoring tools to continuously assess model performance, including input data quality, predictions, and other key metrics.
  • Communicate the model performance to relevant stakeholders to ensure prompt attention to potential problems, driving proactive risk management.
  • Regularly review and improve the model performance process based on feedback, change in underlying data, and evolving business requirements.
• Climate Risk Analytics
  • Develop statistical climate risk models, integrating economic and social data to understand how climate risks may impact financial risk.
  • Develop different climate scenarios based on various emission pathways and climate change projection, assessing the potential impact of each scenario on identified financial risk.
  • Based on the statistical models, develop adaptation strategies to mitigate relevant risks, driving proactive risk management.
  • Establish a system for continuous monitoring of climate date and update the climate risk models regulatorily, ensuring expertise and skills keep pace with evolving business needs.
  • Incorporate existing and potential future policies and regulations related to climate change into the model development, ensuring alignment with regulatory requirements.
  • Involve stakeholders in the meeting process to ensure comprehensive understanding of local conditions, priorities, and concerns.
  Knowledge, Skills and Experience
  • Mandatory / Essential:
    • 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, with knowledge of other relevant tools or platforms an advantage.
    • Hold a degree in Statistics, Mathematics, Computer Science, Quantitative Finance, Economics, Engineering, or a related field, with passion for risk management and advancing the science of credit risk modeling.
    • 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, with 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, with outstanding interpersonal and influencing skills.
  • Desirable:
    • Postgraduate or professional qualification in risk management or finance such as CFA, FRM, PRM, with experience of developing teams in a multi-jurisdictional and matrixed organization.
    • Understanding and experience of BCBS frameworks, particularly those relating to risk and capital, with strong analytical and problem-solving skills.