The Role Responsibilities
Job Background / context
A Manager role is required in the CIC Models team, responsible for supporting credit risk models development for the wholesale portfolios.
Key Responsibilities :
Develop credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the measurement of PD, EAD and LGD for the Corporate, Institutional, and Commercial book
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 (PD, EAD, LGD) 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 ECL 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.
Regulatory & Business Conduct
Display exemplary conduct and live by the Group’s Values and Code of Conduct.
Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank.
This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
Be compliant to home and host regulatory requirements on modelling
Group Model Validation, Model Sponsors and Owners, CIC Business & Credit, Model Risk Management
Our Ideal Candidate
Strong degree (preferably postgraduate) in an applied quantitative discipline (e.g. Economics, Statistics, Finance, Financial Engineering) with a clear ability for analysing data and developing statistical predictive models
Knowledge of banking risk management and Basel / CRR / EBA / IFRS 9 would be a plus.
Prior credit risk modelling experience
Analytical and independent thinker with strong written and verbal communication skills
Expert knowledge of statistical / database software such as SAS, Excel VBA, Python, R, etc.
Relevant experience in a related area (credit risk for financial institutions and sovereigns) a definite plus
Knowledge of risk-drivers for Corporate and Financial Institutions portfolios is a definite plus
Knowledge / experience in credit, marketing or risk functions an asset
Knowledge of the Bank’s product / business / technology system
Regulatory Framework and Requirements : Awareness and thorough understanding of the regulatory framework in which the firm operates.