Clifford Capital Hiring! Full Time AVP - Associate, Financial Risk (1-year Contract) in - Ricebowl

Position Overview

The successful candidate shall assist in portfolio risk analytics. He/She should have a keen interest in risk management, possess strong analytical skills and have an aptitude for numerical analysis. Amongst other activities, the successful candidate would be involved in the following tasks:

Credit Risk Modelling

• Measure the risks (including concentration risk) of the portfolio through the computation of relevant risk measures (e.g. expected credit losses). This includes having oversight of existing risk models to ensure that are performing up to expectations through active monitoring and review of assumptions;
• Review and enhance the Company’s IFRS 9 staging methodology, with particular focus on strengthening the framework and criteria for identifying Significant Increase in Credit Risk (SICR).
• Develop and refine methodologies, quantitative indicators and supporting analysis to ensure that staging assessments are risk-sensitive, appropriately calibrated and consistently applied.
• Develop new IFRS 9 Probability of Default (PD) models, with initial focus on Sovereign and Social Infrastructure exposures.
• Support model calibration, back-testing, validation and ongoing performance monitoring, including appropriate model documentation and governance.
• Perform valuations of individual credits by applying appropriate and intuitive methodologies. This includes review of model parameters and assumptions to ensure the continuing relevance of valuations;

Stress Testing and Scenario Analysis

• Assist in monitoring financial markets and world events to assess their potential impact on the portfolio. This includes the active monitoring of credit ratings, CDS spreads and macro-economic activities within the countries where the Group operates in
• Review and enhance existing stress testing methodologies to improve efficiency, consistency and scalability.
• Streamline stress testing processes to allow a broader range of scenarios and stress tests to be conducted, with faster turnaround and more timely delivery of results.

Risk Scorecard, Analytics and Sandbox Development

• Design and build analytical sandboxes and tools to enable more agile computation of provisions and valuations under different macroeconomic, credit and market scenarios.
• Develop flexible scenario-analysis capabilities that allow users to assess the impact of alternative assumptions, stresses and model parameters on provisions, credit risk metrics and valuations.
• Assist in the development of new risk rating scorecards for various industries to cater to the evolving portfolio composition (new products, geographies, industries, etc), as well as the maintenance of existing scorecards

Model Governance and Stakeholder Engagement

• Prepare clear methodology papers, model documentation and analytical outputs setting out assumptions, methodologies, limitations and results.
• Support internal governance, model review and validation processes and address findings arising from independent review (including Audit) where required.
• Work closely with Credit Risk, Finance, Portfolio Management and other relevant stakeholders to ensure models and analytical tools are fit for purpose and aligned with business requirements.
• Assist in the continuous improvement of the firm’s technology architecture including the on-boarding of risk ratings scorecards and other relevant risk templates onto a more robust platform;
• Keep abreast of developments in IFRS 9 credit risk modelling, stress testing, scenario analysis and quantitative risk management and evaluate their relevance to the Company's portfolio.

Knowledge/ Experience Required

• Degree in Quantitative Finance, Computational Finance, Business, Accounting, Finance, Economics or any related subject
• Relevant experience in credit risk modelling, quantitative risk, stress testing, IFRS 9 modelling or portfolio analytics, preferably within a financial institution
• Proficient in analytical and modelling tools such as Python, R, SQL, SAS and/or MATLAB
• Strong statistical and quantitative skills, including experience with model calibration, back-testing and sensitivity/scenario analysis.
• Strong written and verbal communication skills, with the ability to articulate concepts clearly and effectively.
• Proactive and collaborative team player, with the ability to take initiative and deliver effectively within tight timelines.