VP, Wholesale Model Development, Risk Management

Business Functions

Risk Management Group works closely with our business partners to manage the bank's risk exposure by balancing its objective to maximise returns against an acceptable risk profile. We partner with origination teams to provide financing, investments and hedging opportunities to our customers. To manage risk effectively and run a successful business, we invest significantly in our people and infrastructure.

Job Summary
Develop, maintain, and support the implementation of climate risk stress models and credit risk methodologies for the wholesale portfolios, in compliance with internal standards and relevant regulations

Responsibilities

• Take a leading role in developing, maintaining and translation of climate risk into economic and financial models
• Contribute to building a comprehensive climate risk modelling capability for the bank, such as developing novel methodology to model climate risk, researching on the latest industry practices and framework, contributing to the continuous improvement of the climate risk models, solving complex problems using quantitative techniques
• Develop, implement and maintain Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EaD) models and credit risk methodologies for regulatory (eg. IRB) purposes
• Prepare and maintain clear and detailed documentation of model developments and reviews
• Liaise with and support the monitoring and implementation teams on ongoing model monitoring and (ii) model implementation into various risk systems, providing model specifications and testing system functionality prior to deployment
• Support the internal models' approval and governance processes, providing detailed explanations and justification of modelling decisions and assumptions and addressing potential issues, particularly those relating to Model Validation and Internal Audit's reviews
• Support external models' approval and governance processes, providing necessary explanations, justifications and analyses, particularly those relating to regulatory/supervisors' assessments and external auditors reviews

Requirements

• University graduate or above in a quantitative subject.
• Advanced knowledge of Python and Pyspark is a must. Knowledge of R will be an added advantage
• At least 10 year of experience in developing quantitative climate risk model
• Good understanding of statistical / econometric / computational mathematics / quantitative techniques used in the areas of climate risk modelling and credit risk
• Excellent communication and writing skills
• Previous experience in the development and maintenance of credit risk models including Basel 2 PD, LGD, and EAD models for wholesale portfolios is desired
• Strong team player with leadership experience

Apply Now
We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.