Senior Associate-Analytics. Credit Risk Modelling & IFRS9

1. Job Description
Support enhancement and implementation of Bank-wide IFRS 9 Models and Assess Risk Appetite for retail portfolio. Review and Create various Risk and Regulatory models and recommend remedial actions

2. Key Result Area
•    Responsible for support towards development, implementation and maintenance of credit scoring models/assessment tools, strategies and capital estimate modeling of PD, LGD, EAD and macroeconomic that apply to retail portfolios across life cycle
•    Develop and enhance regulatory models related to ICAAP and Stress Testing
•    Monitor, Document and communicate the functionality of credit risk methods & models to various stakeholders 
•    Provide recommendations to update the model based on latest data and analysis 
•    Prepare / support ERM on regulatory reports relating to retail credit portfolio in-line with internal & regulatory requirement 
•    Assist in enhancement of IFRS 9 methodology, development of Basel models for the retail portfolio 
•    Enhance and maintain model governance framework for retail portfolio
•    Deploy the models on decision system and work with IT for effective maintenance of the scoring related information  
•    Identify analytical opportunity across credit life cycle – Acquisition, Portfolio Management and Collection
•    Required to develop data-driven analytics to monitor the asset quality and minimize the credit risk of retail portfolio 
•    Carry out analytical projects together with policy when credit events warrant as required 
•    Ensure timely communication of scorecard monitoring and validation along with insights and recommendation
•    Drive Expected Credit Loss (ECL) computation that is necessary for the impairment reporting of assets classified as amortized cost and fair value through other comprehensive income
•    Liaise with IT and respective parties to source and determine the data for impairment
•    Analyze data and perform back-testing/stress-testing of the IFRS 9 models to measure the model performance
•    Identify the model risk and provide solution and recommendations to the stakeholders; influence stakeholders to close the gaps in the recommendation
•    Perform risk analysis and risk identification of all processes conducted in the IFRS 9 ECL computation according to guidelines under the Bank-wide Risk Framework
•    Define new controls and key control indicators of relevant processes and remedial actions in case of ineffectiveness of existing controls
•    Prepare IFRS 9 model validation report for board submission and monitor all outstanding matters in the validation and report to the board
•    Extensive coordination and communication with all stakeholders 
•    Manage interface with regulators, external and internal auditors in relation to models in use and validation
•    Provide support to Impairment committees and relevant meetings coordinating agenda, presentation packs and preparation of minutes
•    Oversee and coordinate submission of documents to Internal as well as External Audit and ensure action plans address audit issues raised and are closed on a timely basis
•    Perform maintenance and changes of policies and documentation
•    Set, establish, and deliver on multiple priorities in a timely manner 
•    Contribution to the formulation of a successful growing team 
•    Perform other duties as assigned

3. Operating Environment, Framework and Boundaries, Working Relationships
Regular interaction and working relationship with 
•    Enterprise Risk Management
•    Regulators, internal and external auditors
•    Segment Heads - Business and Marketing
•    Group Finance and CAD 
•    Credit Systems
•    Executive Management

4. Problem Solving
Candidate must 
•    Strong analytical and problem-solving skills 
•    Have a solid understanding of credit scorecard concepts and best practices in risk modeling 
•    Have strong prior end-to-end experience with respect to scorecard development, implementation, refinement and validation within either a retail or wholesale environment 
•    Ability to put structured solution framework to unstructured problems

5. Decision Making Authority & Responsibility
•    Execution of Retail models, Basel and IFRS9 ECL models 
•    Ensure model implementation is compliant with Regulatory requirements 
•    Be responsible for model changes and authorization thereof 
•    Ensure seamless validation of model results
•    Ensure model ‘black box’ integrity – model confidentiality

6. Knowledge, Skills and Experience
•    One-year of experience in risk analytics/risk modeling
•    One-year hands on experience in model building methodologies, implementation and compliance
•    Good understanding of IFRS 9 standards driving Expected Credit loss computational activities and impairment measurement in Financial Reporting 
•    Understanding of Data Quality Management Framework
•    Experience/ understanding of process mapping, governance activities, writing of policies and committee management in a Risk function of a financial institution 
•    Focused and organized, with ability to prioritize and deliver effectively under strict timelines
•    Strong inter-personal and communication skills to work effectively with stakeholders from different functions; comfortable in building relationships at various levels and across geographies
•    Sound grounding Basel norms and modeling techniques 
•    Degree in Quantitative / Statistics / Actuarial Science / Mathematics (Finance exposure would be a plus);
•    Strong analytical, numerical, research and problem-solving skills
•    Have programming experience of SAS, Oracle, Python/R, Microsoft and web-based systems 
•    Ability to present technical concepts for business understanding 
•    Self-motivated person with a high level of drive, dedication and desire to excel consistently
•    Team player, self-starter, innovative and highly motivated