Job Description
Design, develop, and implement risk models such as application / behavioral / collection (ABC) scorecards, Expected Credit Loss (ECL) models, Interest Rate Risk in the Banking Book (IRRBB) models, Liquidity Gap Report, stress test models, etc.
Utilize statistical and quantitative techniques, machine learning algorithms, and data analytics to enhance the predictive power and accuracy of risk models.
Conduct thorough data analysis to identify key variables and market trends that impact credit, market and liquidity risks.
Work closely with product managers and data owners to ensure the availability and quality of data required for model development.
Code and implement risk models using programming languages such as Python, R, or other relevant languages.
Collaborate with product managers and IT teams to integrate models into the organization's systems and ensure seamless execution.
Perform ongoing validation and back-testing of risk models to ensure accuracy, relevance, and compliance with regulatory requirements.
Identify and address any issues or weaknesses in the models through continuous monitoring and improvement processes.
Prepare comprehensive documentation for risk models, methodologies, and validation processes.
Ensure compliance with internal policies and regulatory guidelines.
Collaborate with risk management, finance, and other relevant departments to understand business requirements and align risk models with organizational goals.
Communicate model findings and recommendations effectively to both technical and non-technical stakeholders.
Requirements
Master's or Ph.D. in a quantitative field such as Statistics, Mathematics, Finance, or related discipline.
At least 2-years experience in risk modeling within the financial industry.
Experience with IFRS 9 accounting rules and ECL models is a plus.
Strong proficiency in programming languages such as Python, R, or other relevant languages.
Familiarity with machine learning techniques and statistical modeling.
Excellent analytical and problem-solving skills.
Knowledge of regulatory requirements related to risk modeling (e.g., Basel II/III).
