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UOB

VP, Credit Risk Modeler - IFRS9, Group Business Banking

UOB
BusinessCentral Region (City Area)Full-time3 weeks ago
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About the role

AI summarised

VP-level credit risk modeler role in Group Business Banking at a major bank, focusing on IFRS9 modeling, model development, validation, and regulatory compliance. The role involves leading a team, developing advanced statistical and machine learning models, and collaborating with stakeholders to ensure robust credit risk measurement.

BusinessFull-timeGeneral

Key Responsibilities

  • Lead the development, implementation, and monitoring of IFRS9 credit risk models for business banking portfolios.
  • Apply advanced statistical and machine learning techniques to enhance model accuracy and predictive power.
  • Ensure models comply with regulatory requirements (e.g., IFRS9, Basel) and internal governance standards.
  • Collaborate with business, finance, and risk teams to align model outputs with business strategy.
  • Manage model validation processes and address findings from internal and external audits.
  • Provide thought leadership on emerging trends in credit risk modeling and quantitative finance.
  • Mentor and develop junior team members, fostering a culture of innovation and excellence.

Requirements

  • Master's or PhD in Finance, Economics, Mathematics, Statistics, or a related quantitative field.
  • Minimum 10 years of experience in credit risk modeling, with at least 5 years in IFRS9 modeling.
  • Strong proficiency in statistical modeling languages such as Python, R, or SAS.
  • Deep understanding of IFRS9 standards, including expected credit loss (ECL) calculation methodologies.
  • Experience with machine learning techniques applied to credit risk (e.g., gradient boosting, neural networks).
  • Proven track record of leading model development projects and managing stakeholder relationships.
  • Excellent communication skills, with the ability to explain complex models to non-technical audiences.
  • Knowledge of regulatory requirements for model risk management (e.g., SR 11-7, MAS guidelines).
  • Experience in business banking or commercial lending credit risk is preferred.
  • Strong analytical and problem-solving skills, with attention to detail.