Model Development analyst
4 days ago
ROLE SUMMARY:
Conduct end to end model calibration and monitoring for regulatory credit risk (PD, LGD and EAD) and provision (IFRS9) models.
ROLE DESCRIPTION:
- Apply domain expertise (Basel/IFRS9) in model calibration/monitoring activities
- Manage intermediate level case studies and challenges with minimal supervision
- Perform root-cause analysis and resolve any team hurdles
- Identify, develop and implement process and project enhancements
- Know upstream and downstream processes
- Represent and contribute to internal forums and Market intelligence & Innovation
EDUCATIONAL QUALIFICATION:
Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Economics or Finance, or a track record of performance that demonstrates this ability
ROLE QUALIFIERS:
- Proven functional and domain proficiency in Basel and IFRS9 models
- Strong programming knowledge in SAS and R languages
- Hands on experience in IFRS9 and/or Basel model calibrations
- Demonstrated strong communication, negotiation, interpretation and problem-solving skills
- Ability to guide juniors team members on projects
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