The Assistant VP will be responsible for validating, monitoring, and enhancing risk models and scorecards across Group Retail. This includes conducting rigorous backtesting, assessing model performance for IFRS9 and Basel frameworks, and supporting model deployment and analytics initiatives to ensure robust risk management practices.
Key Responsibilities:
Risk Scorecard Validation & Monitoring
- Conduct extensive backtesting to ensure behavior and application scorecards are fit for use.
- Perform KS/AR analysis, characteristic analysis, and PSI (Population Stability Index) analysis.
- Validate and monitor risk scorecards for various portfolios to ensure accuracy and relevance.
IFRS9 Model Validation
- Validate macroeconomic models and ensure they reflect realistic assumptions.
- Conduct validation of PD (Probability of Default), LGD (Loss Given Default), and EAD (Exposure at Default) estimates for different portfolios.
- Enhance and develop new IFRS9 models as required to ensure regulatory compliance and accurate forecasting.
Basel Model Validation
- Perform validation of PD, LGD, and EAD estimates under Basel frameworks for multiple portfolios.
- Enhance and develop new Basel models and risk estimates where necessary.
Analytics & Deployment Support
- Support User Acceptance Testing (UAT) and deployment of models.
- Assist with analytics data mart enhancement initiatives.
- Generate, analyze, and monitor scorecard performance reports and booking profiles to provide actionable insights.
Job Requirements:
- Bachelor's degree in Finance, Statistics, Mathematics, or related quantitative discipline.
- 58 years of experience in risk analytics, modelling, or credit risk management within the banking sector.
- Solid understanding of IFRS9, Basel II/III frameworks, and retail credit risk models.
- Proficiency in statistical software and programming languages (e.g., Python, R, SAS).
- Strong analytical and problem-solving skills, with attention to detail.
- Ability to work independently and in a team, with good project and time management skills.
