Requirements

Expected technologies

Python

SAS

VBA

SQL

Microsoft Excel

Our requirements

• University degree in a quantitative or technical field.
• Good understanding of statistics and familiarity with sophisticated tools for numerical analysis.
• Minimum 3 years (AVP) or 6 years (Senior AVP) of credit risk modeling experience.
• Good exposure to credit model methodologies and data requirement for A-IRB (preferable), IFRS 9 or stress testing.
• Proven ability to take ownership of your work and solve complex modelling related issues.
• Strong database and credit risk systems experience including coding in Python (preferable), SAS, R, SQL, VBA.
• Good understanding and interpretation of regulatory rules.

Your responsibilities

• Work as part of model development teams developing new wholesale credit risk scorecards (PD, LGD, EAD) for global and regional portfolios. Support deployment and maintenance of live models.
• Support or drive enhancement of existing credit risk scorecards in order to improve their performance or their applicability to other risk measurement or regulatory requirements.
• Be involved in data improvement initiatives to support model development.
• Participate in model usage forums, governance committees and technical panels.
• Liaise with internal Independent Model Review team during model development, model monitoring and review processes.