Credit Risk Specialist – Assessment and Validation job at DFCU Bank

Background

To drive the validation of model-based credit decisions and guidelines to attain standardization and to perform detailed market assessments so as to minimize shocks arising from changes in the macro-economic environment and sector trends.

Responsibilities

• Be responsible for the collation, analysis and publication of the Key Credit Risk and Performance Indicators and perform monthly trend analysis.
• Proactive assessment of Industry/ Sector performance and risk to guide prioritization of business efforts.
• Conduct Macro economic analysis and forecasting and advise the bank on possible impact to performance.
• Participate in conducting of periodic Credit stress tests and scenario analysis, assessing the impact of the Bank’s credit portfolio and making appropriate recommendations to senior management for action.
• Design relevant reporting tools and templates.
• Timely preparation of comprehensive and reliable credit risk reports on a monthly and quarterly basis.
• Review the Bank’s credit analytics to enhance its accuracy and support in the review, understanding and management of model risk to mitigate losses arising from errors.
• Assess the quality of the overall loan portfolio through trends and other analytical risk indicators, to improve credit collections and recoveries
• Benchmarking quantitative and qualitative risk appetite and tolerances, as well as limit structures, relative to sound industry standards and regulatory expectations, while considering the bank’s business strategies.
• Analyze performance qualitatively and/or quantitatively, detecting problems and/or deviations, and recommend actions to mitigate losses and improve performance and profitability.
• Validation of assumptions, formulae and methodologies in the guidelines and processes for developing models. (corporate rating model, retail scoring model etc.) and participate in the regular improvement of the models (upgrade towards predictive models) to avoid and mitigate losses to the Bank.
• Validation (for improvement) of the statistics used in portfolio analytics such as credit limit setting, loss forecasting, allowance for portfolio losses, loan stress testing, capital allocation etc.
• Validation of risk grading and rating frameworks, rating processes and rating parameters (EL, PDs, LGDs, EAD etc.).
• Validation of pricing and capital allocation models, RAROC framework and Credit Var estimation.
• Validation of regulatory Capital estimation (Standardized approach and Internal Rating Based approach).
• Validation of compliance with regulatory and statutory loan loss provisioning standards.
• Perform regular portfolio surveillance including earnings review and credit market spreads.

Qualifications

• An undergraduate Degree in mathematics, statistics or quantitative economics.
• CFA qualification will be an added advantage.
• Knowledge of data analysis and validation tools.
• Knowledge of data modelling, data cleansing, and data enrichment techniques.
• In possession of formal research training.
• An understanding of data protection issues.
• Awareness and knowledge of industry-specific databases and data sets.
• Ability to pay attention to detail.
• Ability to communicate well and be highly organized.
• Highly curious and inquisitive.

Experience

• 4 years’ working experience in a financial institution.
• Highly numerate and analytical.
• Statistical modelling, interpretation and translation.
• Risk management and commercial grounding.
• Capacity to develop and document procedures and workflows.
• Knowledge on macro-economic and sector performance tools.
• Ability to carry out data quality control, validation and linkage.
• Experience of statistical methodologies and data analysis techniques.
• Ability to produce clear graphical representations and data visualizations.
• Ability to translate analytics and provide insight and analysis through clear visual, written and verbal communication.

• Be responsible for the collation, analysis and publication of the Key Credit Risk and Performance Indicators and perform monthly trend analysis.
• Proactive assessment of Industry/ Sector performance and risk to guide prioritization of business efforts.
• Conduct Macro economic analysis and forecasting and advise the bank on possible impact to performance.
• Participate in conducting of periodic Credit stress tests and scenario analysis, assessing the impact of the Bank’s credit portfolio and making appropriate recommendations to senior management for action.
• Design relevant reporting tools and templates.
• Timely preparation of comprehensive and reliable credit risk reports on a monthly and quarterly basis.
• Review the Bank’s credit analytics to enhance its accuracy and support in the review, understanding and management of model risk to mitigate losses arising from errors.
• Assess the quality of the overall loan portfolio through trends and other analytical risk indicators, to improve credit collections and recoveries
• Benchmarking quantitative and qualitative risk appetite and tolerances, as well as limit structures, relative to sound industry standards and regulatory expectations, while considering the bank’s business strategies.
• Analyze performance qualitatively and/or quantitatively, detecting problems and/or deviations, and recommend actions to mitigate losses and improve performance and profitability.
• Validation of assumptions, formulae and methodologies in the guidelines and processes for developing models. (corporate rating model, retail scoring model etc.) and participate in the regular improvement of the models (upgrade towards predictive models) to avoid and mitigate losses to the Bank.
• Validation (for improvement) of the statistics used in portfolio analytics such as credit limit setting, loss forecasting, allowance for portfolio losses, loan stress testing, capital allocation etc.
• Validation of risk grading and rating frameworks, rating processes and rating parameters (EL, PDs, LGDs, EAD etc.).
• Validation of pricing and capital allocation models, RAROC framework and Credit Var estimation.
• Validation of regulatory Capital estimation (Standardized approach and Internal Rating Based approach).
• Validation of compliance with regulatory and statutory loan loss provisioning standards.
• Perform regular portfolio surveillance including earnings review and credit market spreads.

• Knowledge of data analysis and validation tools.
• Knowledge of data modelling, data cleansing, and data enrichment techniques.
• Formal research training.
• Understanding of data protection issues.
• Awareness and knowledge of industry-specific databases and data sets.
• Ability to carry out data quality control, validation and linkage.
• Experience of statistical methodologies and data analysis techniques.
• Ability to produce clear graphical representations and data visualizations.
• Ability to pay attention to detail.
• Ability to communicate well and be highly organized.
• Ability to translate analytics and provide insight and analysis through clear visual, written and verbal communication.
• Highly curious and inquisitive.

• An undergraduate Degree in mathematics, statistics or quantitative economics.
• CFA qualification will be an added advantage.