Job Details
Job Description
Job Purpose:
To research, provide statistical support and application in developing, validating, calibrating and maintaining credit risk rating and stress testing models in line with best industry practices and in compliance with Basel II credit risk Internal Rating Based (IRB) Approach.
Principal Accountabilities:
- Establish data requirements to build, validate and calibrate credit rating models.
- Provide data acquisition and statistical support during model building and validation stages.
- Development and validation of internal risk estimates such as PDs, LGDs, and EADs based on relevant statistical methods prescribed by SAMA / Basel.
- Work with the business and model development team to improve the accuracy and discriminative powers of the existing credit rating models through use of statistical methods.
- Provide statistical support to build credit risk Stress testing model.
- Develop and maintain detailed documents supporting the aforementioned work in meeting Basel II compliance requirements.
- Ensure that the data used for model development is reliable and robust and that it adheres to industry standards. Good understanding of business related characteristics, as well as proper handling of data anomalies and missing values are critical success factors.
- Assist in maintaining and improving existing credit risk concentration model.
- Conduct Portfolio Analytics and preparing management reports for the senior Management on monthly basis.
- Obliged to abide by any instructions furnished by his Manager with respect to the scope of work.
Business Managers
To asses and complete business requirements for credit rating systems
System Owners/Managers
To extract borrowers' performance and rating data history
Policy and Strategy Managers
To align Rating and Stress testing models with Policy requirements
Internal Audit
To provide documentation support and explanation /workings behind model validation exercise
Bank Consultants
To scope and manage any outsourced statistical validation work
Desired Profile
- Good communication skills to ensure model documentation is clear and provides third party reviewers (i.e. Inteal Audit, or SAMA) the ability to replicate model functionality.
- B.Sc. in Statistics/ Research
- Understands and can use correctly business, banking and statistical terminology.
- Able to do detailed statistical analysis and document the methodology and the results.
- Sound knowledge of building and validating credit risk predictive models and a good understanding of modeling theory and methodologies combined with practical application.
- Able to apply the results of his investigations at a practical level, i.e., recommending changes to the rating models.
- Excellent written communication skills are also essential for preparing management reports, and responding to queries.
- Able to develop ideas and to work unsupervised.
- Able to use necessary software applications used in statistical analysis
- Very high level of written and spoken English.
- Well versed in statistical packages, SAS, SPSS etc.
- Minimum 5 years experience in banking/financial sector.
Key Skills
Experience of data analysis [including. regression analysis] and reporting [i.e., developing reports which interpret and comment on the findings of the analysis]
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Company Details
Contact Details
Contact Name
: Tejasvi ShahEmail
: 125@gulfbankers.comContact Mobile
: N/A
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