Senior Manager - Corporate Risk Analytics
Tasks
- Conduct PiT and TTC calibration and optimization
- Coordinate model methodology reviews and approvals
- Deliver training on quantitative analytics
- Deploy and integrate credit models in bank systems
- Develop IFRS based provision forecasting model
- Develop LGD models
- Develop macro overlay models
- Develop model monitoring methodologies
- Develop non retail credit rating models
- Liaise with validation team for model remediation
- Maintain historical datamart for non retail products
- Maintain model and scorecard documentation
- Perform monthly ECL and provisioning calculations
- Produce model monitoring reports
- Provide ICAAP inputs
- Support macro stress testing
- Verify model inputs and outputs on rating platform
Perks/Benefits
- N/A
Skills/Tech-stack
Basel II | Credit Risk | Credit Scoring | Credit risk modeling | Data Management | EAD | ECL | Gradient boosting | ICAAP | IFRS 9 | LGD | Machine Learning | Macro Stress Testing | Model Monitoring | Model Validation | PD | PiT TTC Calibration | Provisioning | Python | R | Random Forest | Risk Modeling | SAS | Statistical modeling | Stress Testing | Support Vector Machines | Vector machines
Education
Roles
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