The team is responsible for the maintenance and execution of the full suite of credit impairment models as well as DoD (Definition of default) engines and plays a key role in the determination of credit loss budgets and provides the credit loss projections used in internal and external stress testing exercises including those requested by regulatory authorities.
The Role:
* Overseeing engine execution to produce DoD (Definition of default) model output and supporting change process and implementation of new models
* Keeping process documentation up to date with model changes
* Reviewing and challenging the next-generation credit risk provisioning models
* Ensuring models and model outputs are subject to appropriate governance
* Seeking to either reduce or remove risk when weaknesses in either the methodology or the processes are identified
* Preparing materials and presenting results to governance forums/committees
The Candidate:
* Intermediate Corporate portfolio experience
* Intermediate knowledge or experience on NDOD (new definition of default) concepts such as probation periods, forbearance, and UTPs
* Intermediate modelling experience either related to NDOD or IFRS9 modelling
* Comfortable communicating with senior stakeholders
It would also be nice for you to have:
* In-depth knowledge of IFRS9 provisioning methodologies, default guidelines and risk governance processes
* Good knowledge of Power BI
* Ability to develop and explain to senior management complex credit risks and how such risk can be mitigated
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