
Senior Risk Modelling Specialist
2 days ago
Job Summary:
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- Develop and implement ECL frameworks covering both collateralized and non-collateralized exposures.
- Define and document the approach for computing ECL, including Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), and discounting methodologies.
- Research, compare, and evaluate at least 3 different ECL modeling approaches to recommend the most suitable model.
- Design and deliver a recommended ECL model aligned with regulatory and IFRS 9 standards.
- Build an ECL Calculator/Template with capability for automation and scalability.
- Integrate ECL solution with SAS, IFRS 9 solutioning tools, and APIs for seamless system connectivity and reporting.
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- Work closely with Risk, Finance, and IT stakeholders to ensure model validation, governance, and compliance.
- Provide support in regulatory reporting, model documentation, and audit requirements.
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- Proven experience in IFRS 9, ECL modeling, credit risk modeling, and regulatory reporting.
- Strong expertise in PD/LGD/EAD modeling, macroeconomic overlays, and stress testing.
- Hands-on experience with SAS (SAS Risk Management / SAS IFRS 9 modules) and Excel-based calculators.
- Experience in system integration via APIs for risk and finance data flows.
- Knowledge of statistical modeling, machine learning, and quantitative risk techniques.
- Strong programming skills in Python, R, or SQL.
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