Associate Director, CIB Model Development

JOB SUMMARY

Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the wholesale portfolio.

Support continuous improvement efforts through research on techniques, process and domain.

Execute end to end model development steps. The responsibility will also include efforts on data preparation, documentation, presentation and maintaining minutes of key decisions made during the development lifecycle.

Adopting best coding standards and automation to help create coding repositories for various methods used across modelling team.

Ensure that models are fit for purposes not only for regulatory estimates but also for daily business usage, underwriting decisions, risk appetite decisions and strategy design.

Participate in relevant model implementation and its user acceptance test to ensure models are appropriately implemented not only within the direct system environment but also its relevant...