Senior Wholesale Risk Model Development Manager

Job Title:

Senior Risk Management Leader

Job Description:

The Senior Risk Management Leader is a high-level professional responsible for leading the development of wholesale risk models and implementing risk governance best practices.

Key Responsibilities:

• Establish a centre of excellence for wholesale rating models, overseeing its growth and scale-up from the ground up.
• Provide thought leadership and contribute to the development of model development and validation best practices.
• Stay updated on regulatory and industry developments, including Basel guidelines, IFRS 9, local regulations, and rating agency methodologies, and apply them to model design.
• Research and develop innovative solutions independently.

Stakeholder Engagement:

• Prepare presentations and communicate effectively with senior management and board-level committees.
• Engage with stakeholders across the credit lifecycle: limit management, collateral management, RAROC, customer rating.
• Review financial spreading logic in newly developed credit lifecycle systems.
• Ensure governance and audit readiness through proper model documentation and transparent development practices.

Technical Delivery:

• Design and implement end-to-end processes for developing, validating, and managing wholesale rating models.
• 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).
• Explore new approaches for rating model development in low default portfolios.
• Master rating scale calibration.

Team Leadership:

• 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.

Model Monitoring:

• Determine model monitoring goals, considering factors like accuracy and other relevant metrics based on the model purpose.
• Implement monitoring tools to assess model performance continuously, including input data quality and predictions.
• Communicate model performance to relevant stakeholders to address potential problems promptly.
• 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, integrating economic and social data to understand climate risks' impact.
• Develop different climate scenarios based on emission pathways and climate change projections, assessing each scenario's impact on identified financial risks.
• Based on statistical models, develop adaptation strategies to mitigate relevant risks.
• Establish a system for continuous climate data monitoring and updating climate risk models regulatorily.
• Incorporate policies and regulations related to climate change into model development.
• Involve stakeholders in meeting processes 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 skills in languages like R and Python, with proficiency in data analysis and visualization using Excel and PowerPoint. Knowledge of other relevant tools or platforms would be an advantage.
• A degree in statistics, mathematics, computer science, quantitative finance, economics, engineering, or a related field.
• Possess excellent communication skills, both written and spoken, with fluency in English, and the 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 the banking sector.
• A 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.
• Demonstrable people and managerial leadership experience in a matrixed and multi-jurisdictional organization.
• Outstanding interpersonal and influencing skills, with personal credibility and the ability to influence stakeholders at all levels, particularly senior colleagues.

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