VP Dy VP
2 months ago
Team LeadModel Building Retail Credit Portfolio RiskAnalytics
JobRole
The role requires adeep technical expertise in credit risk modelling and the abilityto lead a team in developing cutting edge models that meetregulatory and risk management needs.
Responsibilities
- Leaddevelopment of advanced credit risk models for provisioning/capitalrequirements (IFRS CECL BASEL IRB) and internal risk managementusing statistical econometric and machine learningtechniques
- Apply machinelearning algorithms and advanced statistical techniques to enhancemodel performance
- Utilise big data techfor data processing and featureengineering
- Integrate externaldata sources to improve modelaccuracy
- Manage team ofquantitative analysts providing technical guidance andmentorship
- Collaborate with ITand data engineering teams to ensure availability and quality ofdata for modeldevelopment
- Communicate lucidlymodel performance and risk assessments to seniormanagement
Regulatory& StakeholderEngagement
- Engagewith regulatory/statutory bodies to ensure models meet compliancerequirements
- Engage with modelvalidation team to meet validationrequirements
Qualifications&Experience
- Advanceddegree in statistics mathematics quantitativefinance
- Proficiency in pythondata visualisationPySpark
- Deep understanding ofmachine learning algorithms and statisticaltechniques
- 10 years of extensiveexperience in developing retail credit riskmodels
- Experience in areasof IFRS CECL BASELIRB
- Experience inmanaging and leading team of quantitativeprofessionals
- Proven track recordof deploying machine learning and advanced techniques in modelbuilding
Model Building,ModelDevelopment,credit risk modelling,CECL,ifrs,Basel,IRB,internalrating based,credit risk models,machine learning,StatisticalModeling
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