Job Purpose
Perform the validation, calibration and implementation of a suite of credit risk rating methodologies, models compliant with regulatory requirements that are compliant with both internal and external regulations.
Key Responsibilities
· IFRS 9 model monitoring, validation and ensure that all models are validated and refined/ re-developed as per the governance framework
· Perform analysis on the analytical models used in stress testing and ICAAP to ensure the models are fit for purpose or not.
· Develop and maintain a model inventory and ensure the inventory is complete, accurate, and consistent with the model governance framework.
· Coordinate with other quantitative analysts within the Bank to ensure that rating models and solutions are consistent and in-line with the Bank practices
· Ensure accuracy and completeness of archived information and related documentation to allow independent third party review of the validation work performed.
Education
Bachelor’s/Master’s degree in Applied Math, Applied Statistics, Actuarial Sciences, Economics, Computer Science.
Work Experience
Minimum of 6 – 8 years of work experience in model development or model validation in the Banking industry.
Job Types: Full-time, Permanent
Ability to commute/relocate:
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