VP, Wholesale Model Development, Risk Management

Business Functions

Risk Management Group works closely with our business partners to manage the bank’s risk exposure by balancing its objective to maximise returns against an acceptable risk profile. We partner with origination teams to provide financing, investments and hedging opportunities to our customers. To manage risk effectively and run a successful business, we invest significantly in our people and infrastructure. ​
 

Job Summary
Develop, maintain, and support the implementation of credit risk methodologies and PD, LGD and EaD models for Corporate, Financial Institutions, Specialized Lending, and Wealth Management portfolios, in compliance with internal standards and relevant regulations, including those relating to MAS and HKMA.
 

Responsibilities

• Develop, implement and maintain Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EaD) models and credit risk methodologies for Corporate, Financial Institutions, Specialized Lending, and Wealth Management portfolios, for regulatory (eg. IRB) purposes

• Conduct assessment of climate risk scenarios and translation of climate risk scenarios to credit risk projections

• Prepare and maintain clear and detailed documentation of model developments and reviews

• Liaise with and support the monitoring and implementation teams on ongoing model monitoring and (ii) model implementation into various risk systems, providing model specifications and testing system functionality prior to deployment

• Support the internal models’ approval and governance processes, providing detailed explanations and justification of modeling decisions and assumptions and addressing potential issues, particularly those relating to Model Validation and Internal Audit’s reviews

• Support external models’ approval and governance processes, providing necessary explanations, justifications and analyses, particularly those relating to regulatory/supervisors’ assessments and external auditors reviews

• Liaise with business and product management to provide risk analytics solutions for enhancing the credit risk-return tradeoff

• Research, propose and develop enhancements of existing models, to improve accuracy, risk discrimination, forward-looking capability and responsiveness to economic environment, considering the evolution in the relevant regulatory environment, academia and industry 

Requirements 

• University graduate or above plus a minimum of 10 years hands-on experience in related areas

• At least 10+ years of experience in leading the development, monitoring and maintenance of credit risk models including Basel 2 PD, LGD, and EAD models for wholesale portfolios

• Experience of end to end use of models through to capital calculation

• Understanding of statistical / econometric / modelling theory and technical applications in the area of credit risk

• Good understanding of the Basel II Accord, MAS and HKMA Supervisory Requirements

• Good knowledge of credit process and business products

• Excellent communication and writing skills

• Strong team player with leadership experience

• Working knowledge of SAS and Excel is essential. Knowledge in R and Python will be an added advantage

Apply Now​
We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.​