ED, CIB Model Development

Job Summary
Manage the development of credit risk IRB, IFRS9 and Pillar 2 Stress Testing models for the Corporate and Investment Banking (CIB) portfolios. The role holder will be responsible for managing our interactions with the regional regulators, including the MAS, HKMA, FSS, BoT and BNM, specifically in regards to the CIB IRB models.
Key Responsibilities
Strategy
Ensure the credit risk IRB, IFRS9 and Pillar 2 Stress Testing models developed for the measurement of PD, EAD and LGD for the CIB portfolios remain relevant and appropriate for the regulatory capital and IFRS9 calculations. Continuously improve the models' accuracy while maintaining a strong engagement with the relevant internal and regional regulatory bodies (MAS, HKMA, FSS, BoT and BNM) responsible for their approval. Explore the optimal modelling approach within the constraints of the data and systems while meeting the regulatory and business requirements. Maintain and continue to upgrade the models based o...