Required Qualifications: Master’s / Bachelor’s degree (16 years of equivalent education) in a quantitative discipline (Actuarial Science, Data Science, Statistics, Finance, Econometrics or Mathematics) from a HEC-recognized institution. Candidates holding CFA/FRM certifications will be preferred.

Age: (as of the last date of submission of application)

40 years maximum.

Experience: (Post Qualification)

Minimum 3-5 years of relevant experience.

Details,

Job Description:

Risk Review

• To prepare policies related to Credit & Market Risk etc.
• To conduct risk assessment of loan cases (Advances) & Treasury middle office
• Development and implementation risk models i.e. Application, Behavioral Scorecard and facility rating etc.
• Review of the Advances & Treasury Portfolio, prepare dashboards using Power BI and present in different management committees
• Prepare all the regulatory reports like CAR, Stress testing, LCR & NSFR etc. Monitoring of middle office activities like CRR, SLR, line limits, etc. and other middle office reports.
• Hands on experience of preparation of working papers for different committees of management.
• To provide training to the Risk Team & Other officers related to Application, Behavioral Scorecard & Risk Assessment Training

Modeler for IFRS 9

• Manage and implement the ongoing monthly/quarterly/semi-annually & annual production of IFRS 9 expected credit losses using existing models and develop new models, whilst providing insight and analytical commentary to allow senior management to make complex considerations and a high level of management judgment on the expected credit loss calculations through regular monitoring and reporting.
• Develop additional IFRS 9 ECL models and /or PD / LGD scorecards should the HBFC widen its product offering
• Enhance IFRS 9 model monitoring and management information to allow senior management to understand new and potentially even more complex products and investments in the future
• Enhance the development of second-generation IFRS 9 models, including recalibration of PD, LGD, macroeconomic scenarios, and interest rates
• Work with the team to ensure the relevant journal balance movements, reconciliations, reports, and annual report and accounts entries are produced in line with IFRS 9 and HBFC’s financial reporting timelines
• Provide and present advanced analytical insights to the senior management and Stakeholders, in addition to explain new technical concepts when necessary, and ensure that IFRS 9 standards and requirements are cascaded and met across the organization
• Review of all regulatory reporting like Stress testing, Capital Adequacy Ratio, Liquidity Coverage Ratio, Net Stable Funding Ratio, Contractual Maturity Mismatch, Concentration of funding etc.
• To provide training to the Risk Team & other officers related to IFRS 9.

Competencies/Knowledge:

• Relevant experience in financial modeling, hands-on statistical risk modeling experience of building Credit Application and Behavior Models with demonstrated proficiency in each step of scorecard development and its validation.
• Knowledge and hands-on with Advanced Excel, Power BI, VBA, SQL, C++, SPSS/SAS, and other programming skills with experience in working with large datasets
• Significant prior experience in an IFRS 9/Credit Risk Modeling team
• Understanding of IFRS 9 and accounting concepts (PD, LGD, EAD, arrears and roll rates, interest rates, fair value, write-offs)
• IFRS 9 and credit rating scorecard model building experience and documentation skills
• Risk and financial reporting experience
• Prior experience in undertaking linear regression analysis and historical vintage analysis

Credit risk management, credit risk modeling or business expertise within a Retail/Commercial or Corporate bank, with the ability to apply technical IFRS 9 guidelines to practical business