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Vice President - Model Developer (Wholesale Risk)

Vice President - Model Developer (Wholesale Risk)

Mashreqmumbai, maharashtra, in
30+ days ago
Job description

The main purpose of the role is to lead the wholesale Risk model development team and assist the Head of Risk Analytics and Capital Management in execution of risk governance and practices around quantitative models.

Key Result Areas

Strategic & Leadership Responsibilities

  • Establish and scale a new Centre of Excellence (CoE) for Wholesale Rating Models from the ground up
  • Provide thought leadership and contribute to development of best practices in model development and validation
  • Track latest regulatory and industry updates (Basel guidelines, IFRS 9, local regulations, rating agency methodologies) and translate them into model design considerations
  • Independently research and develop innovative solutions

Stakeholder Management

  • Prepare presentations and communicate effectively with Senior Management and Board-level committees
  • Engage with multiple stakeholders across the credit lifecycle : Limit Management, Collateral Management, RAROC, Customer Rating
  • Review financial spreading logic in newly developed credit lifecycle system
  • Support governance and audit readiness through proper model documentation and transparent development practices

    • Technical & Delivery Responsibilities

  • Design and implement end-to-end process for development, validation, and lifecycle management of Wholesale Rating Models
  • Develop and validate a range of models including :
  • Corporate / Wholesale Rating Models including Large Corporate, Mid Corporate, SME, Sovereign, FI, HNWI, Project Finance, and Specialized Lending
  • Explore new approaches for rating model development for low default portfolios
  • Master Rating Scale (MRS) calibration

    • People Management

  • Build, mentor, and lead a team of modelers and consultants
  • Drive capability building and continuous learning within the team through training, peer reviews, and knowledge sharing

    • Wholesale Model Monitoring

  • Outline the goals of model monitoring, considering factors like accuracy and other relevant metrics based on the model purpose
  • Determine the expected performance of the respective models on historical data
  • Implement monitoring tools to continuously assess model performance. This includes monitoring input data quality, predictions
  • Communicate the model performance to relevant stakeholders to ensure the prompt attention to potential problems.
  • Regularly review and improve the model performance process based on the feedback, change in underlying data and evolving business requirement.

    • Climate Risk Analytics

  • Develop statistical climate risk models, integrate economic and social data to understand how climate risks may impact.
  • Develop different climate scenarios based on the various emission pathways and climate change projection. Assess the potential impact of each scenario on the identified financial risk.
  • Based on the statistical models, develop adaption strategies to mitigate relevant risks
  • Establish a system for continuous monitoring of climate date and update the climate risk models regulatorily.
  • Incorporate existing and potential future policies and regulations related to climate change into the model development.
  • Involve stakeholders in the meeting process to ensure a comprehensive understanding of local conditions, priorities and concerns.

    • Knowledge, Skills and Experience

    Mandatory / Essential :

  • Strong foundation in Statistics and Mathematics. You have hands-on experience in developing and validating Wholesale Rating Models (PD, LGD, EAD) and a deep understanding of model lifecycle best practices.
  • Strong programming languages such as R and Python, and are proficient in data analysis and visualization using Excel and PowerPoint. Knowledge of other relevant tools or platforms (e.g. SAS, SQL, visualization tools, workflow automation tools) would be an advantage.
  • Hold a degree in Statistics, Mathematics, Computer Science, Quantitative Finance, Economics, Engineering, or a related field.
  • Passionate about risk management and about advancing the science of credit risk modeling. Excellent communication skills, both written and spoken, with fluency in English. Ability to convey complex technical concepts clearly to both technical and non-technical stakeholders.
  • Undergraduate degree in Finance, Risk, Economics, Engineering or other related field
  • 10-15 years of progressive, multi-discipline risk management experience within banking sector
  • Deep understanding of risk management concepts and methodologies gained through development and practical application of risk policy / frameworks
  • Demonstrated capability to apply risk management concepts, analysis and support to strategic decision-making processes
  • Demonstrable people and managerial leadership experience in a matrixed and multi-jurisdictional organization
  • Outstanding interpersonal and influencing skills; Possess personal credibility and ability to influence stakeholders at all levels, particularly senior colleagues.

    • Desirable :

  • Postgraduate or professional qualification in risk management or finance such as CFA, FRM, PRM.
  • Experience of developing teams in a multi-jurisdictional and matrixed organization.
  • Understanding and experience of BCBS frameworks, particularly those relating to risk and capital.
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