VP, Model Development, Risk Management Group
Business Function 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. Responsibilities
- Maintaining high standards of work and technical excellence, including the research and analysis of latest practices, interpretation of regulator guidelines, and interpretation of credit risk model policies and practices
- Lead and participate in credit risk model development for retail and retail SME portfolios (including PD, LGD, EAD, application, behavior, collection models and other credit risk models), ensuring model efficacy and compliance with internal policies and external regulatory requirements.
- Partner with Model Validation team to ensure timely and accurate validation of all models, and to ensure action plans for validation issues are addressed on a timely and accurate basis for all models
- Manage end to end model related discussions, such as model approvals, with Internal Audit and regulators
- Proactively engage various model stakeholders, such as credit and business, and senior management for model acceptance, approval and maintenance
- Lead, mentor and manage junior staff members to enhance risk analytical capability
- Work closely with other teams within GPA on the development of digital / business models for retail portfolios
- Develop strong partnership with key stakeholders including CBG & RMG Credit to identify new model development needs and to ensure the ongoing applicability of retail models
- Actively participate and oversee the development projects from an end-to-end perspective including facilitating the model approval process, work with Model Monitoring and Support team to ensure successful model implementation as well as reviewing and commenting on the quarterly performance monitoring report.
- Provide methodological "thought leadership
- Ensure execution excellence by having a keen eye on details and by closely monitoring the project progress
- Contribute to the proper adherence, improvement and review of model development and related standards/policies
- Proactively engage the model stakeholders and lead model PSC committees and/or working groups meetings in an effective manner for the purpose of model development and in-use
- Liaise with regulators on all retail model matters
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.
- University graduate or above plus a minimum of 10 years hands-on experience in related areas
- At least 10+ years of experience in leading the development of credit risk models including Basel 2 models for retail portfolios. Experience in risk models for SME portfolio will be an added advantage.
- Experience in developing decision models and strategies
- Experience of end to end use of models through to capital calculation
- Understanding of statistical / econometric / modelling theory and technical applications in the area of credit risk
- Good understanding of the Basel II Accord, MAS and HKMA Supervisory Requirements
- Good knowledge on credit and business products.
- Good Communication and writing skills
- Strong Team Player
- Working knowledge of SAS and Excel is essential. Knowledge in R and Python will be an added advantage