Job Description

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. ...

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