Found Description
Job Purpose
The Lead, Risk Analytics & Wholesale Models is a specialized technical function which requires a defined set of skills and experience. The position will support the development and maintenance of Credit Risk Models (IFRS 9, ICAAP, Scorecards).
Key result Areas
- Support the development of IFRS 9 models for the wholesale portfolio. Specifically:
- Development of Point in Time PD models for IFRS 9 ECL computation
- Proper implementation of the models to ensure they are fit for purpose
- Monthly LGD run for the IFRS 9 ECL computation
- Sensitivity analysis and stress testing of the ECL as required
- Support the development of credit rating models for the wholesale portfolio
- Contribute to ECL analysis and impacts in different scenarios
- Support capital management team for the ECL run for ICAAP and Stress testing
- Refresh PD term structure for all the IFRS 9 PD Models as per required frequency...