Team Lead - Retail Credit Risk Model Building

Role & responsibilities

Leadership - • Lead development of advanced credit risk models for provisioning/capital requirements (IFRS, CECL, BASEL IRB) and internal risk management using statistical, econometric and machine learning techniques • Manage team of quantitative analysts providing technical guidance and mentorship.

Retail Model building - • Apply machine learning algorithms and advanced statistical techniques to enhance model performance • Utilise big data tech for data processing and feature engineering • Integrate external data sources to improve model accuracy • Collaborate with IT and data engineering teams to ensure availability and quality of data for model development • Ensure documentation practice is inculcated in the team

Policies and Procedures - • Develop/enrich/update policies and procedures for retail model building. • Ensure new regulatory requirements are understood, analysed and impact assessment conducted

Periodic submissions - • Ensure timely and quality submissions of Board/ Board Committee/Senior Management notes • Presentations to Senior Management committees to provide updates, analyses • Communicate lucidly model performance and risk assessments to senior management

Model Validation - • Engage with Model Validation Unit to address the observations, improve model building with best practices

Regulatory and Audit - • Liaise with regulatory and statutory audit/ compliance/validation and related teams to address observations and ensure compliance to regulations. • Respond to regulatory indents and observations and guide to closure.