FRM Lead for Expected Credit Loss Model (IFRS 9)

Job Responsibilities

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Responsibilities may include but are not limited to:
• ▪ Lead the validation of the Expected Credit Loss (ECL) model, including model design, development, implementation, and ongoing monitoring;
• ▪ Conduct comprehensive validation tests to assess the accuracy and reliability of the ECL model outputs;
• ▪ Collaborate with cross-functional teams, including Risk Management, Finance, and IT, to ensure alignment with business objectives and regulatory requirements;
• ▪ Develop and maintain documentation related to model validation procedures, methodologies, and findings;
• ▪ Provide insights and recommendations to senior management regarding model performance, limitations, and potential enhancements; and
• ▪ Stay updated on industry best practices, regulatory guidelines, and emerging trends related to credit risk modeling and validation.

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Eligibility Requirements

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Candidate should have:
• ▪ Bachelor's degree in Finance, Economics, Statistics, Mathematics, or a related field; advanced degree preferred.
• ▪ Minimum of [7] years of experience in quantitative finance, risk management, or a similar role within the financial services industry.
• ▪ In-depth knowledge of credit risk modeling principles, methodologies, and regulatory requirements, particularly IFRS 9.
• ▪ Strong proficiency in statistical modeling tools and programming languages (e.g., SAS, R, Python).
• ▪ Excellent analytical skills with the ability to interpret complex data sets and draw meaningful insights.
• ▪ Effective communication and stakeholder management skills, with the ability to interact with individuals at all levels of the organization.
• ▪ Prior experience leading validation projects or teams is highly desirable.

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