Risk Modeling Consultant

2 days ago


Singapore Unison Consulting Pte Ltd Full time

Job Description & Responsibilities:
Key Responsibilities
Develop and implement
ECL framework
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
(e.g., Vintage Analysis, Roll Rate Models, Transition Matrix, Monte Carlo Simulation) 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
(Excel-based prototype) with capability for automation and scalability.
Integrate ECL solution with
SAS, IFRS 9 solutioning tools, and APIs
for seamless system connectivity and reporting.
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 .
Requirements
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
(preferred).
Excellent analytical, problem-solving, and communication skills.
Good to Have
Experience with
Big 4 advisory, banking, or financial institutions .
Familiarity with
Basel III/IV, Stress Testing, ICAAP, and Credit Risk Capital frameworks .
Knowledge of
cloud platforms (Azure, AWS, GCP)
for risk model deployment.
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