Support the “Risk 2025” and “Financial Risk Enhancement Programme” (FREP), a multi-year programme mobilised to fundamentally transform and modernize our approach to managing financial risk management, across the first and second lines of defense.
IFRS9 Workstream role to deliver the future Wholesale impairment capabilities with more Real Time simulations, scenario expansions and ‘what-if’ capabilities.
In collaboration with the Senior FREP lead, Wholesale Impairment, design and deliver solutions on a number of initiatives including (but not limited to):
The role holder will define new model build requirements, desktop ECL calculatiors and Web-design tools, to enhance the delivery capability in Wholesale credit risk.
Drive the next phase of delivery for simulation tools (Python or other similar technologies) and further integration of the wider system architecture for IFRS9.
Build simulation/scenario expansion models in line with the requirements of Forward Economic Guidance library and manage that transition to BAU ie creating & implementing econometric models for forecasting macroeconomic and financial variables
Creating a library of key economic shocks required to generate a scenario, eg assumptions around monetary policy, commodity and interest rate and other asset price shocks.
Support management and audit review of scenarios generation team set up, ensuring that the documentation on scenario generation and models is created and fulfils the FIM requirements.
Assist with the creation & refinement of an economic scenario development process through involvement in the quarterly scenario generation cycle, compliance and governance-related efforts involving model risk management requirements, ongoing model performance monitoring, review and challenge of scenario outcomes, documentation, etc.
Strategise and design the delivery of IFRS9 FREP relating to simulation and scenario generation
Review and define innovative solutions to simplify the operating model and make the e2e process of scenario expansion and LIC simulations more efficient and leaner.
Work with the wider delivery team across Risk Transformation, Risk IT, Finance Change Delivery and other change delivery groups to deliver enhanced Simulation capabilities for IFRS9.
Engage with wholesale and retail risk teams in creating a standardised output from the in-house expansion process
Knowledge & Experience/Qualifications
Proven SAS/Python advanced development experience
Managed/developed large scale system changes with the SAS domain including big data experience.
Proven experience of using statistical analysis tools for large scale data manipulation and analysis eg SAS, Excel, SQL
Ability to perform Datamodelling a distinct advantage
Proven ability to take ownership and accountability – “Self Starter”
Good interpersonal skills – ability to engage with stakeholders if needed whether business or technical
Solid and flexible team working attitude
Focused on delivering to timelines, providing timely progress updates
Understanding of econometric models for forecasting macroeconomic and financial variables required
Understanding of Finance & Risk processes at a Global Bank an advantage
Awareness of IFRS9
Strong leadership and team development credentials
Understanding if credit risk models will be an advantage