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Functional (job responsibilities)
- ECL Model Management & Reporting:
- Prepare and finalize Expected Credit Loss (ECL) model results, including Probability of Default (PD) and Loss Given Default (LGD), on a quarterly and monthly basis, ensuring 0% error rates and timely submission.
- Perform comprehensive trend analysis on PD and LGD results.
- Prepare the quarterly model monitoring deck (KS GINI, PSI, MAD, R2, MAPE....) for senior management with high accuracy.
- Compliance & Model Maintenance:
- Ensure strict compliance with MFRS 9 policy at all times and stay updated on the latest changes to model instruments and regulations.
- Monitor and update all MFRS 9 models (PD, LGD, Curerate, Kfactor) to ensure they are prepared for monthly closing cycles.
- Model Enhancement & Implementation:
- Perform model enhancement and recalibration from time to time to ensure models remain predictive, robust, and compliant.
- Focus on continuous improvement to eliminate human intervention in the model process and remove outliers.
- Prepare documentation for management approval on model enhancements and recalibration exercises.
- Ensure all necessary SOP and Policy updates are completed and documented following any model changes.
- MFRS 9 ECL and Model automation projects.
- Define business and technical requirements from MFRS9 model and share to vendors for development.
- Manage the automation project to reduce manual intervention and improve efficiency.
- Execute comprehensive UAT testing by sharing the logic flow and performing variance analysis to ensure successful system implementation and go-live.
- Monitor the ongoing performance and accuracy of the automated model solution.
- Stakeholder Collaboration:
- Coordinate with various departments, including Collections, to gather data (e.g., recovery and cost for impaired accounts).
- Engage with Group Risk Management to ensure effective implementation of MFRS 9 models.
- Liaise with external auditors and Group Risk for model audits and recommendations.
- General Support:
- Provide support on ad-hoc requests from the Head of Department as needed.
Jobholder Requirements
Education/Qualification
Education:Bachelor's or Master's degree in Applied Math, Actuarial Science, Applied Statistics, Statistics, or a related field.
Experience:Proven experience incredit risk modelling, specifically withMFRS 9 / IFRS 9 ECL methodologies (PD, LGD, EAD).
Technical Skills:Strong proficiency in relevant statistical/programming languages (e.g.,R, SAS, SQL) and advanced skills inMicrosoft Excel.
Regulatory Knowledge:In-depth understanding ofMFRS 9 / IFRS 9 regulatory requirementsand best practices.
Analytical Skills:Excellent analytical, problem-solving, and critical-thinking skills with a keen focus ondata accuracy and integrity.
Communication:Strong interpersonal and communication skills to effectively coordinate with internal stakeholders, external auditors, and external vendors.
Detail-Oriented:A track record of producing work with high accuracy and meeting strict deadlines.
