Urgent requirement for Manager, Retail IRB Models

Job Description

Role Responsibilities Strategy Enterprise Risk Analytics Retail (ERA Retail) is part of the broader Enterprise Risk Management organization within the Risk & Compliance Division.The Risk Analyst is responsible for:
• Developing and maintaining IRB models for regulatory reporting to regulators (PRA, HKMA, MAS, BNM, FSS).
• Estimation of Risk Weighted Asset, Expected Loss and Regulatory Capital for retail portfolios (including Business Banking).
The purpose of the role is to build capabilities model risk measurement, management, and strategy, including:
• Current and target state for regulatory models
• ERA model networks and model risk
• Regulatory requirements and future changes
• Model life cycle and control framework
• Model systems and Regulatory and Accounting Calculations
The role holder will report to the senior manager of the retail modelling team.BusinessBuild understanding of credit products, policies, and portfolio history. Apply business knowledge in proposing model design and justifying modelling decisions.Develop models according to the Rolling Work Plan, including the following:
• Extraction, preparation and audit of data and model definitions to ensure accuracy and completeness.
• Develop new, maintain and enhance IRB, IFRS9 and stress testing models according to industry standards.
• Prepares and maintains the required and supporting documentations, reports and analysis.
• Ensures that the models meet the SCB model standards, internal governance process and relevant regulations.
ProcessesDevelop models according to the model life cycle and regulatory standards, including:
• Assessment, identification and resolution of project risks covering project initiation, data request, development, approval, validation, system implementation and business usage.
• Support the implementation of IRB and IFRS9 models through preparation of business requirement/specification, UAT and deployment
• Ensures the timely completion of the deliverables according to plan. Successful management of the project. Tracking of end-to-end timelines and deliverables.
• Conduct peer review and/or audit of other projects.
People and Talent
• Develop experience and knowledge in Standard Chartered Bank databases, systems and modelling techniques.
• Keep abreast on industry practices on predictive modelling and latest modelling techniques; and regulatory requirements.
Risk Management
• Identification of potential risk and impact to model design.
• Provide guidance and support model monitoring process.
• Address concerns of key stakeholders and regulators.
Governance
• Effective management of open model issues.
• Complete Technical Development Documents according to the latest Model Standards.
• Improve quality of documentation.
Regulatory & Business Conduct
• Display exemplary conduct and live by the Group s Values and Code of Conduct.
• Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
• Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.
Key StakeholdersInternal:
• Chief Risk Officer, Global Head ERM, Country Credit Heads
External (regulators):
• PRA, HKMA, MAS, BNM, FSS
Other Responsibilities
• Support model monitoring, model validation and stress testing.
Our Ideal CandidateQualifications Experience:
• Minimum 2 years experience in model development role such as: credit scorecards, IRB models and IFRS 9 models. Experience in other roles such as model monitoring, MIS, validation and regulatory compliance will be considered.
• Good understanding of regulatory requirements (PRA, HKMA, MAS, BNM or FSS). Awareness of updates on regulations.
• Junior applicants will be considered for a junior role.
Qualifications:
• Preferred: Bachelor s Degree in Statistics, Math, Operations Research or other related field (Masters a plus)
• Proficient statistical programming skills in SAS (and other statistical software a plus), strong analytical skills and understanding of quantitative and statistical analysis. Strong experience with: DATA step data manipulation with arrays, do-loops, and merges; SAS Macro language, SAS/GRAPH, PROC SQL experience, OLS and logistic regression, univariate and multivariate statistical analysis, CART and/or CHAID.
Skills:
• Good understanding of credit risk for the retail portfolio and retail banking products.
• Demonstrated excellence in analytical thought leadership and problem solving
• Able to creatively apply analytical solutions to business problems
• Able to manage multiple concurrent projects effectively
• Solid written and verbal communication ability, including the ability to put together clear, concise, and accurate reports and e-mail communication
Role Specific Competencies
• SAS or Other statistical software (Python, R)
• Model Building / Knowledge of Retail models
• Working with data, databases, and systems
• Knowledge of credit risk and credit banking products
• Document Writing and Communication Skills
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Keyskills :
strong analytical skillsenterprise risk managementproc sqllife cyclecredit riskmodel designrisk analysisretail bankingrisk analyticsstress testing