AVP Credit Risk Modelling & Analytics
Leading Corporate Investment Bank seeks Credit Risk Analytics specialist to join their newly set up desk to cover a large portfolio across the region. You will work closely with Quantitative experts and will report to the Head of Risk Reporting Risk Analytics.
This is a non-reporting role and you will given the opportunity to develop models, methodologies for the Bank.
AVP - Credit Risk Modelling Analytics - Corporate Portfolio
Location: Singapore
Main responsibilities of Credit Risk Modelling Analytics role:
-Current portfolio – Mainly Large corporate loans (Trade Finance, Shipping finance, real estate etc) of 100bil USD across APAC region.
- Perform rigorous stress testing on credit portfolio to include regional portfolio, branch/country level portfolio, industry level exposure and group level exposure.
-Develop expert knowledge in Stress Testing.
-Own RWA Economic Capital (EC) process/models.
-Create RWA EC numbers and provide Reporting team with information necessary for distribution.
-Perform credit analytics with particular understanding of Basel II/III risk measurement methodologies including Expected Loss, Risk Weighted Assets, Economic Capital and the associated risk parameters inputs like Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), Credit Conversion Factors (CCF) and default correlation.
-Develop awareness and provide insights into system and reporting enhancement projects.
-Ad-hoc responsibilities may be assigned from time to time by Management.
Main requirements of Credit Risk Modelling Analytics role:
- 3 to 6 years of Corporate Banking/Non-Retail Banking/Risk Consultancy experience.
- Strong education background, CFA/FRM Certification would be a plus
-Good knowledge of Analytic functions like capital calculation, stress testing and concentration risk measurement.
-Good knowledge of credit products such as term loans, revolving credit facilities, letters of credit and securitization structures
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