01Responsibilities
Develop and/or validate credit risk models, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models. Ensure compliance with IFRS 9, CECL, and other relevant regulatory requirements. Conduct quantitative analysis and stress testing to assess model performance and risk exposure. Collaborate with cross-functional teams to gather data, refine model assumptions, and improve model accuracy. Document model development and validation processes, including methodologies, assumptions, and findings. Provide insights and recommendations to improve credit risk management practices and strategies. Stay updated on industry trends, regulatory changes, and advancements in quantitative modeling techniques. Participate in internal and external audits, addressing any findings related to credit risk models. Qualifications: Masters or Ph.D. degree in Quantitative Finance, Statistics, Mathematics, Economics, or a related field. Proven experience in credit risk model development or validation, particularly under IFRS 9 and CECL frameworks. Strong quantitative and analytical skills, with a solid understanding of statistical and mathematical modeling. Proficiency in programming languages such as Python, R, SAS, or MATLAB. Familiarity with data management tools and techniques, including SQL and data visualization platforms. Excellent communication skills, with the ability to explain complex concepts to non-technical stakeholders. Strong attention to detail and the ability to manage multiple projects and deadlines.Mandatory skill sets:Credit Risk Model Development or ValidationPreferred skill sets:Proficiency in programming languages such as Python, R, SAS, or MATLAB.Years of experience required:9+ YearsEducation qualification:Masters or Ph.D. degreeEducation (if blank, degree and/or field of study not specified)Degrees/Field of Study required: Master Degree, Bachelor DegreeDegrees/Field of Study preferred:Certifications (if blank, certifications not specified)Required SkillsBusiness AnalyticsOptional SkillsAccepting Feedback, Accepting Feedback, Active Listening, Analytical Thinking, Anti-Bribery, Anti-Money Laundering Compliance, Business Ethics, Coaching and Feedback, Code of Ethics, Communication, Compliance and Governance, Compliance and Standards, Compliance Auditing, Compliance Frameworks, Compliance Program Implementation, Compliance Reporting, Compliance Review, Compliance Risk Assessment, Compliance Training, Controls Compliance, Creativity, Cybersecurity Risk Management, Data Analysis and Interpretation, Data Protection Management (DPM), Disability Support
