The Model Development team is responsible for developing, calibrating and maintaining the credit rating models required for our clients application for the use of the Advanced Internal Ratings Based (AIRB) approach for regulatory capital purposes.
The Basel project is of strategic importance to the Bank with the team getting a lot of attention and support from senior management. This role presents a wonderful opportunity to make a significant contribution.
DUTIES & RESPONSIBILITIES
- Build relationships and liaise with various stakeholders and business partners
- Develop probability of default (PD) models. These are typically scorecard models for entities such as Corporates and Banks; and simulation models for structured deals such as Income Producing Real Estate (IPRE)
- Calibration approaches for PD models
- Develop loss given default (LGD) methodologies and the link between long-run LGDs and downturn LGDs.
- Develop exposure at default (EAD) models
- Develop stress testing models for PDs, EADs and LGDs
- Implementation and testing of the models, including writing Matlab code to be deployed by the Risk IT team.
- Prepare model development documentation
- Monitor the performance of the models over time
- Prepare and present model related presentations
It is imperative that all the models comply with Basel II.
In addition, the AIRB models developed will need to be enhanced and expanded upon to allow overlay of forward-looking macroeconomic factors and generate outputs to be used in IFRS 9 expected credit loss calculations. The current goal is to achieve IFRS 9 compliance as well as a move to an AIRB approach simultaneously.
Honours degree with strong Mathematical / Statistics content
- A minimum of five years’ experience in developing credit rating models within a Bank or Consultancy firm
- Previous experience in credit risk PD, LGD and EAD modelling would be preferable
Special skills / competencies
- Strong statistical knowledge
- Excellent written and verbal communication skills
- Strong programming skills - Must be proficient in Matlab (or willing to learn) or similar application
- Ability to build credible relationships at all levels
- Strong interpersonal skills - ability to build strong relationships
- Business and solutions focused - can do attitude
- Pro-active, ideas generator, self-starter and driven
- Hard worker - Willing to go the extra mile and work under pressure