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Develop IFRS9 compliant credit risk models for the Retail banking book.
* Develop new, maintain and enhance retail scorecards (application, behaviour, collections/recovery, etc) and IFRS9 models. * Able to conduct validation of scorecard performance, PD, LGD, and EAD models * Work with other members of the credit risk team to utilize and integrate credit scorecards into IFRS9 models * Support the implementation of scorecards and IFRS9 models through review of model engine enhancement, UAT and deployment * Monitor and analyze scorecard and IFRS 9 model performance. * Liaison with business functions, credit approval, collections and other related functions to drive use, monitor overrides, analyze new requirements and feedback on existing models * Develop and maintain scorecard documentation, policies and procedures * Conduct periodic training, research and development of new models, methodologies and scorecard/model business usage * Provide consultation support to the country risk teams.
* Bachelors Degree in Statistics, Math, Operations Research or other related field (Masters a plus) * Experienced in scorecard development, maintenance and validation experiences in a banking environment. * Good understanding of Credit Risk for the retail portfolio and retail banking products. * Proficient statistical programming skills in SAS (and other statistical software a plus), strong analytical skills and understanding of quantitative and statistical analysis. Strong experience with: DATA step data manipulation with arrays, do-loops, and merges; SAS Macro language, SAS/GRAPH, PROC SQL experience. * Experience in data manipulation, data mining and understanding of relational databases * Experience with statistical modeling and analytic techniques such as OLS and logistic regression, univariate and multivariate statistical analysis, CART and/or CHAID. * Excellent knowledge of banking risk management (Basel and IFRS 9 plus). * Proficiency in MS Word, advanced MS Excel, database software and SQL language
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