Manager/ Assistant Manager – Credit Risk Modeler
Job Description:
- To develop Credit Application & Behavioral Scorecard Models
- To develop policy & new risk models to help the organization to improve risk management and to satisfy regulatory requirement
- To develop models for Probability of Default (PD), Expected Credit Loss (ECL), Loss Given Default (LGD), & Exposure at Default (EAD), Credit Conversion Factor (CCF) and it’s testing for retail portfolios.
- Validation of general and specific provisions according to accounting standards
- Ensure the model outputs are fit for purposes not only for regulatory capital and ECL estimates but also for daily business usage, underwriting, risk appetite decisions and strategy design.
- Responsible for compiling and documenting modeling and analytical results in an organized way continuously improving risk modeling tools and methods by enhancing data, including new risk characteristics.
- Support the Organizational efforts on Credit Policy and Risk Appetite, including verifying the integrity of the underlying data and rationale, monitoring and validation of the underlying theories and methodologies
- Monitor internal models performance through Back-testing exercise on semi-annual basis. Document the assessment to the required standards (technical model documentation)
Competencies:
- Knowledge and Hands on with Advanced Excel, VBA, C++, SPSS/SAS and other programming skills with experience in working with large datasets
Candidates may apply at publicsector@hrsgonline.com.
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