Description
The team is responsible for developing and implementing all the IFRS 9 impairment and stress testing models, including climate stress testing. This is an excellent opportunity to get exposure to both retail and wholesale models. Model automation is a key focus area for the team. Strong programming skills and a background in machine learning would be helpful.
Experience, skills and capability
A full understanding of the IFRS 9 impairment requirements. Research and implement new algorithms to automate model development. Develop IFRS 9 probability of default (PD) and loss given default (LGD) models. Consider approaches to incorporate climate risk into the models. Build relationships and liaise with key stakeholders from Business, Risk, Finance and Economics. Understand the synergies between IFRS 9 and stress testing models; and develop/enhance the stress test models. ...