Risk Modeling Consultant

2 weeks ago

Singapore Unison Consulting Pte Ltd Full time $120,000 - $200,000 per year
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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