Senior Manager
Summary of Key Duties & Responsibilities
• Recommend for approval, credit risk modelling & validation frameworks and model governance frameworks/policies.
• Guide the scoping, design, development, validation and implementation of Basel II/III requirements of the Bank, ensuring models are IRB compliant and approved via Model governance processes to agreed timescales.
• Develop, implement and maintain the internal Capital and Credit, Risk methodology for the Bank.
• Lead the implementation of economic capital model relating to credit, risk exposure modelling and Basel II requirements; monitoring validation and review of the Pillar II credit model and implementation, including the inputs and parameters (Positions, Data, PDs and EADs).
• Implement Basel II calculation of Capital adequacy and Economic Capital on a monthly basis.
• On an ongoing basis analyse and collect data to validate and stress test and back-test Basel II capital calculation models
• Build a Credit Risk Loss Data base for Bank and Industry showing potential and net losses
• Implement a credit Risk classification System to record current and historical account status rather than manual capturing of grading of accounts
• Review credit risk VaR and capital using AIRB and MSA approaches.
• Guide recalibration of models as per policy guidelines.
• Interpret delegated risk appetite into a set of exposure or credit limits and controls
• Interpret model outputs and formulate them into credit risk management strategies.
• Verify ECLs calculation from the developed models
• Provide technical Lead and project management to credit risk projects
• Oversee implementation of credit risk monitoring systems and offer advice on gaps identified in credit management impacting on credit risk profile.
• Implement models in line with developments in the industry and international markets.
• Align credit risk management in line with emerging international trends such as Basel 11 and IFRs9 and regulatory guidelines
• Ensure model governance processes are being adhered to.
• Undertake any other duties, tasks, assignments and projects as may be delegated/assigned by Management from time to time
Qualifications. Experience, Knowledge Skills & Attributes
• Relevant recognized Degree i.e. Finance, Banking, Mathematics, Statistics, Operational Research, and Economics, preferably at a postgraduate level.
• Minimum 5 years of experience in Risk Management, Audit, Compliance and or Relationship Management at Managerial level.
• Understanding of Basel II and IFRS9 frameworks and credit risk in Banking.
• An understanding of the FSA and other approaches to bank regulation particularly relating to Credit Risk and an understanding of quantitative and statistical modelling is essential.
• Highly numerate with a reasonable knowledge of financial mathematics as the tasks require financial modelling and stress testing with wide use of spread sheets and risk management software.
• Knowledge of risk management and the Flexcube Banking System will be an added advantage
Applicants should email their applications together with certified copies of certificates of academic and professional qualifications and a detailed Curriculum Vitae, including contact telephone numbers, to [email protected] no later than Thursday 25 October 2018.
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