The successful candidate will handle to handle IFRS 9 implementation projects for a bank in the following areas:
1. Validate the risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management under Basel
2. Identify adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) and ensure they comply with IFRS 9 requirements
3. Make adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) to ensure compliance with IFRS 9 requirements
4. Provide quantitative and technical support required in building IFRS 9 compliant impairment models and calculators for clients
Qualifications: B.Sc. (2.1)/MBA in Mathematics or Actuarial Science
Relevant working experience
- 2 -3 years credit risk modeling experience covering risk parameters such as PD, LGD, EAD/CCF etc. in an Advanced IRB environment
- Basel II/III capital requirement calculations under Advanced IRB approach
- IFRS 9 and IAS 39 knowledge/experience will be an added advantage.
- Using mathematical sense to model under different scenarios
- Model validation etc.