The primary responsibility of this role involves running the IFRS 9 Strategic Solution for Wholesale portfolio for Group and units/subsidiaries and assist in implementing the strategy system. Regularly maintaining, updating and monitoring Expected Credit Loss (ECL) framework, calculation rules and engines in line with internal policies and regulatory requirements. Deep understanding of data management and statistical tools such as SAS, SQL, R, Python etc.
- Generation of IFRS9 Wholesale ECL provision numbers on quarterly basis through Tactical Solution & monthly basis through Strategic Solution (once live) for both group and units’ levels using different environments/contexts. Tactical Solution will be discontinued once Strategic Solution is tested, signed off, and is live. Timely and accurate ECL Computation on each quarter, within strict timelines.
- Designing end to end process maps to perform data ETL tasks for Strategic Solution in coordination with Group IT to optimize ECL results which improves efficiency and minimize manual inputs and errors. Significant to reduce turnaround time and errors, and create operation efficiency within the department Performing on each reporting date.
- Engage with all ABC Subsidiaries and Business Units to collect necessary data and ensure that the data provided are accurate and perform periodic checks. The activity is critical to ensure the accuracy of underlying data.
- Generate analytical reports related to ECL from strategic solution (once live) and perform in depth analysis on Quarterly ECL results. Similarly, provide in-depth analysis on ECL movement analysis from Tactical Solution. Monthly and Quarterly/ on request. For clarity, this should not be confused with Financial Reporting.
- Define, and validate integration of strategy system with other risk management systems. On request - significant to ensure that correct and updated information is captured from various systems.
- Deep data mining & continuous analysis of IFRS 9 data to understand & validate the results and data sources for continuous improvement. Monthly and Quarterly/ on request. For clarity, this should not be confused with Financial Reporting.
- Provide support for other critical strategic risk management initiatives which includes stress testing, ICAAP, portfolio reporting etc. This provides the foundation for analysis and risk estimates computed as part of these initiatives.
Knowledge, Education & Experience:
- High level of data mining & manipulation skills.
- Good knowledge of IFRS9 regulations and previous experience in working on vendor based IFRS9 solutions/developing IFRS9 computation engine.
- High degree of data management skills (SAS & SQL).
- Proficient in one of the programming languages (R or Python).
- Strong techno-functional knowledge of other risk systems (Credit Work Flow, Basel, Rating system etc.)
- Ability to learn and update skills on the job.
- Good organizational skills.
- A graduate degree with Quants background/ Professional certificate in Risk Management.
- At least 5-7 years’ experience in a similar function with a large regional or global financial institution.