Ant Group Risk Analytics, Modelling Specialist

2 days ago

Singapore Alibaba Full time

Develop and review risk models for credit decisioning and IFRS9 (including PD, EAD and LGD models) for wholesale portfolios using various modelling techniques and compliance to Model Risk Management Framework - Develop and review stress testing models and conduct end to end stress tests including IWST, ICAAP, credit cyclicality stress test and portfolio specific stress test - Ensure timely and accurate validation is carried out for all models collaboratively with the Validations team - Liaise with auditors and regulators to ensure compliance with relevant requirements - Monitor the performance of the bank’s loan portfolios to ensure compliance with regulations and bank-wide credit risk strategies, policies and manuals - Conduct regular and ad-hoc portfolio data analysis on all loans to identify associated credit risks and problems, and recommend appropriate actions - Work closely with business team, product team and technology team to implement credit models in lending platforms and workflow - Aside from Credit-related models, collaborate with the Market and Liquidity Risk team to support their data production needs - Support the study for behavioural characteristics of our customers and the creation of such behavioural models to enhance the value of the risk function of the Bank
- Degree or above with major in Mathematics, Statistic or Financial Engineering etc. - Minimum 5 years of relevant experiences from credit risk analytics and/or modelling in banks - Hands-on experience with end-to-end development/validation of credit risk models - Sound knowledge of Basel, IFRS9, MAS requirements in relation to models - Good understanding of credit products in wholesale / SME segment - Good stakeholder management and presentation skills - Proficient in Python, SQL and other analytical tools (R, SAS); CFA or FRM certification will be an added advantage - Self-initiated, excellent analytical skills with the ability to handle multiple-tasks under tight schedules - Articulate; Good command of written and spoken English. - Meticulous, organised and able to produce documentation of high quality with clear and concise messaging - Self-assured and able to interact well with various working levels

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