Lead Expert - Model Development/Calibration

Job description

ROLE SUMMARY

The role is of Consultant Expert for the SG GSC RISQ/MOD team working on model development missions. The objective is to provide domain expertise to ensure on-time and quality deliverable of model development/calibration/monitoring missions, and coordinate with Group RISQ/MOD team.

The specific role description being

• Develop/calibrate IFRS9 or BASEL models by adhering to Group framework
• Continuously improve the models and research on latest modelling methodology and best industry practices, while meeting all regulatory and data constraints
• Work on end-to-end model development (PD, LGD, EAD) from data exploration to report writing
• Propose project plan, including plan of calibration/monitoring to be carried out for the missions
• Ability to conduct business reviews and recommend improvements by analyzing business risks, efficiency and quality
• Challenge and recommend the existing process enhancements with the complete functional knowledge on upstream and downstream processes.
• Proven expertise in analyzing root cause and providing solutions for residual risks at value chain.
• Continuous upskilling of industry knowledge and address any new business or product launch queries.
• Contribute to the Global Expert community of value chain.
• Train experts and lead experts in the team. All these elements shall be included in the “Equilibre de Vie au Travail” framework (quality life at work) and leads to performance evaluation.

Ensure that all activities and duties are carried out in full compliance with regulatory requirements and internal policies and standards.

The qualifiers to perform the role are:

• 7+ years of experience in model development of regulatory credit risk models
• Knowledge of Time series, Regression, Optimization, Markov chain, Smoothening etc.
• Exposure to guidelines from European Regulators is desirable
• Programing knowledge in SAS and/or R
• Excellent written (documentation) and oral communication skills in English
• Consultative mindset and problem-solving approach