T D Newton & Associates
Website:
tdnewton.com
Job details:
ROLE DESCRIPTION (SUMMARY):
Conduct end to end model calibration for regulatory credit risk (PD, LGD and EAD) and provision (IFRS9) models.
RESPONSIBILITIES:
As a subject matter expert, your mission would be:
- · Driving automation of existing calibration exercises, and support team to build efficiency in model calibration processes
- · Propose streamlining/automation project plan, including plan of analysis to be carried out for the missions
- · Deliver calibration missions within agreed timelines, with desired quality benchmarks
- · Support Model development team in investigations on data and model performance
- · Ensure adherence to Group standards on calibration and Regulatory guidelines
- · Manage interactions with Group model development team
- · Prepare a report to communicate results and findings from data investigations and automation initiatives
EDUCATIONAL QUALIFICATION:
Bachelor’s in Engineering or Masters in a quantitative subject such as Computer Science, Mathematics or Economics
KEY SKILLS:
- · 2 + years of experience in data manipulation on large datasets (> 1 million rows) leveraging programing languages like SAS, R or Python
- · Knowledge of regulatory credit risk (PD, LGD and EAD) and/or provision (IFRS9) models
- · Exposure to banking book and knowledge of BASEL/IFRS9 guidelines is desirable
- · Excellent written (documentation) and oral communication skills in English
LEADERSHIP SKILLS: Client Focus, Team Sprit, Commitment, Responsibility and Innovation
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