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

Senior Associate-Analytics. Credit Risk Modelling & IFRS9