Credit Risk Modeling Officer (ECL Models)

In the Consumer Risk Modelling team, you will play a crucial role in generating Expected Credit Loss (ECL) reports and providing holistic analysis of the figures to cross-functional teams. You will also be developing, implementing, and maintaining credit risk models that align with the bank’s risk management strategy. Utilizing your expertise in statistical and quantitative modeling, machine learning, programming, and financial analytics to develop risk models that enhance our ability to assess and manage credit risk effectively. Immediate area of focus is IFRS 9 Expected Credit Loss (ECL) models.

Job Description

• Generate regular and ad hoc ECL reports to be made available for analysis and presentation to internal Risk team and supporting functional units
• Provide holistic analysis of ECL figures from risk and business perspective
• Ensure updated documentation and procedural manuals
• Conduct data acquisition, data integrity assessment, variable selection, model development, documentation, and implementation of IFRS 9 risk parameters (i.e. probability of default, loss given default, exposure at default, macroeconomic overlay) used in calculating ECL
• Ensure alignment of ECL methodologies with bank's risk management strategy and regulatory requirements

Qualifications

• With 1-2 years working experience in credit risk management
• Strong understanding of risk management principles and methodologies, with focus on IFRS 9
• Excellent problem-solving and decision-making abilities
• Attention to detail and accuracy in data analysis
• Ability to work effectively both individually and as part of a team
• Proficient in R/SAS/Python or any similar programming language
• Satisfactory oral, written, and presentation communication skills
• Proactive and self-driven