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Credit Risk Modelling & Validation

Job Seekers Singapore Risk Management Financial Services - Banking

Job Summary

  • Singapore
  • Contract
  • BBBH764191
  • Aug 12, 2020
  • Competitive
Job Description

Our client is a globally leading bank looking for a Credit Risk Model Validation Manager to revise and upgrade the existing models to meet the new industry regulatory standards.

Credit Risk Model Validation and Development

  • International Bank
  • Attractive Salary Package
  • 12 Months Contract role (role is extendable; conversion is subjected to headcount approval and work performance)

About Our Client

  • Our client is a globally leading bank looking for passionate and talented credit risk model devloper who is motivated by high growth potential. This is to revise and upgrade the existing models to meet the new industry regulatory standards.

Job Description

You will be responsible for:

  • Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the the wholesale and retail portfolios.
  • Continuously improve the models' performance and research on the latest modelling methodology and best industry practices, while meeting all regulatory and data constraints.
  • Work on the end-to-end model development cycle, from data gathering and cleansing to the documentation and presentations to key stakeholders.
  • Maintain and continue to upgrade the models based on model users and regulatory feedback and on-going model performance monitoring.
  • Ensure the model outputs are fit for purposes not only for regulatory capital and estimates but also for daily business usage, underwriting decisions, risk appetite decisions and strategy design.
  • Participate in relevant model implementation and its user acceptance test to ensure models are appropriately implemented not only within the direct system environment but also its relevant downstream environments.
  • Understand model related uncertainty risk such as data, regulatory, business strategy, that have a direct impact on the model's performance
  • Ensure the modelling process and models meet the Model Risk Policy and Model Family Standards.
  • Provide timely and high-quality responses to both internal and external queries and requests.

The Successful Applicant

As a successful applicant, you would have the following Skills & Qualifications:

  • Hands on credit risk model development/ validation experience- the person must be senior enough and able to hit the ground running, requires minimal hand holding. Someone from banking or consultant firm that sell implementation projects is highly preferred.
  • Senior candidates with risk modelling experience or experienced in model validation is good.
  • Stress testing (good to have) experience on analytics and development of models is good as well. However, candidates on stress testing reporting side will not be suitable as they haven't developed models.
  • Knowledge of credit modelling regulations on Basel/CRR/EBA and IFRS 9 regulations

*** Only open to candidates currently based in Singapore***

*****If you're interested in this role, please send your updated CV (word format) to smalhotra@morganmckinley.com.sg for a confidential discussion*****

Referrals are greatly appreciated.

EA Licence No: 11C5502

EA No: R1770166

Consultant Details

Consultant Details

Suhani Malhotra
Suhani Malhotra
  • Senior Consultant
  • +65 6818 3174
  • smalhotra@morganmckinley.com