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  • 1 - 6 Years
  • Posted : above 1 month

Job Description:

Looking for professionals with 1 to 6 years of experience in Model Monitoring in Retail Banking domain with hands on experience in SAS


- Understand IFRS 9 account level and portfolio level models for secured and unsecured retail portfolios

- Understand IRB (Basel internal rating based) models; including the components such as PD, LGD, EAD for secured and unsecured retail portfolios

- Understand the difference between different IFRS 9 approaches ie sophisticated account level vs simplified portfolio level

- Understand the requirements of periodic model performance assessment and monitoring

- Understand the IFRS 9 model and IRB model functionalities and the data required to perform period model performance assessment and monitoring

- Own IFRS 9 and IRB portfolios and perform periodic model monitoring

- Present IFRS 9 and IRB monitoring results to internal risk committees and senior management

- Perform exploratory analyses to answer committee and senior management questions

- As IFRS 9 or IRB models are redeveloped, update the model monitoring procedure to reflect the redeveloped models

- Work closely with model development team to understand model functionality and translate model development codes into model monitoring codes

- Maintain and continue to upgrade the monitoring process based on modeller, model users and regulatory feedback

Profile Summary:

Employment Type : Full Time
Salary : Not Mentioned
Deadline : 18th Apr 2020

Key Skills:

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