To develop, monitor, review and maintain the IFRS9 models that will be needed for impairment purposes from an Expected Credit Loss (ECL) perspective. In addition, develop, monitor, calibrate and maintain the Capital models that will be needed for capital purposes from an Unexpected Loss (UL) perspective. Other responsibilities include developing relationships and communicating with a variety of partners and stakeholders; handling data collection for input into the model development process, and ensuring the appropriateness of the internal exposure data used; preparing specific programming code that performs quality checks on data and identifies trends; and providing a complete audit log of all analysis conducted as a means of assisting the team which is responsible for independently reviewing all models.

Accountabilities

• Develop, implement, and maintain best practice IFRS9models.
• Develop, implement, and maintain best practice capital models.
• Responsible for following data governance.
• Develop measurement tools to identify changing market trends.
• Develop accurate, statistically validated credit risk (IFRS9 and Capital) models while supporting all aspects of the agreed model build, validation and governance process.
• Evaluate the quality of the data and communicate any issues with interpretation of subsequent analyses.
• Ensure variances to the expected profitability result are fully understood and used to enhance models and new business strategies.
• Analyse contemplated changes to credit models and review the actual performance vs expectation to inform business decisions.
• Ensure variances to the expected model results are reported, reviewed, fully understood and used to enhance business performance.
• Ensure changes to credit models are communicated, understood and implementable within the responsible business.
• Continuous research into and the creation of opportunities to improve the credit result by enhancing model accuracy.
• Build additional models that can assist advance business and key situations that require models.
• Demonstrate return on investment.
• Maintain accurate and sustainable models and check parameters.
• Support teams to make profitable decisions.
• Required to make presentations at Credit Committee meetings.

Skills/Experience Required

• Relevant Degree (Statistical / Mathematical / Actuarial or Engineering background).
• Minimum 5 years’ relevant experience in Credit risk.
• Experience in managing teams.
• Expertise in building or validating impairment models (including experience in Basel / IFRS9 / scorecard models).
• Proficient in SAS / R / SQL.
• Python (advantageous).
• Strong Communication skills

Competencies Required

• Examining Information.
• Documenting facts.
• Interpreting data. Providing Insights.
• Establishing rapport.
• Convincing people.
• Articulating information.
• Showing Composure.
• Thinking positively. Team working.
• Embracing and leading change.
• Meeting timescales.
• Following procedures.
• Upholding standards.
• People management.

Additional Comments

• Analytical thinking and attention to detail.
• Excellent communication skills (Technical and non-Technical).
• Results driven.
• Able to handle an operational environment and varied stakeholders.
• Proficient Microsoft Excel skills.
• In-depth knowledge of Statistical software (SAS and/or SSPS and/or R).
• Working knowledge of data manipulation software (Python/SQL).
• Knowledge of Scorecards.
• Knowledge of IFRS9.
• Knowledge of predictive modelling and statistical research.