Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards
Job Summary
Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards.
Conduct thorough validation of model performance, including PD, LGD, and EAD models, and carry out portfolio stress testing to assess model robustness against adverse economic conditions.
Stay abreast of emerging technologies, including cloud computing and Generative AI (GenAI), and explore their potential applications within the organization to optimize operations and drive innovation in risk management practices.
Matching Summary
Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards.
Skills & Requirements
Must-have
Develop and enhance PD, LGD, EAD models
Model validation and portfolio stress testing
Credit risk advice to senior management
Basel II credit risk documentation
Implement Basel/IFRS9 models
Advanced data analysis and modeling
Emerging technologies in risk management
Nice-to-have
Strong PC skills: Python, R, SQL
Knowledge of Core banking
Analytical mind with sound business insight
Excellent communicator
Self-starter, flexible
People management experience
Key Requirements
Undergraduate degree in a quantitative programme
3-6 years of working experience in credit risk modeling
Experience for models development and/or validation