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• Be responsible for the collation, analysis (including trend
  analysis) and publication of the Key Credit Risk Performance Indicators.
• Design relevant risk reporting tools & templates and prepare
  timely, comprehensive and reliable credit risk reports.
• Proactive assessment of Industry/ Sector risks and performance to
  guide prioritization of business efforts.
• Conduct Macro economic analysis and forecasting and advise the bank
  on possible impact to performance.
• Participate in conducting of periodic Credit stress tests and
  scenario analysis, assessing the impact on the Bank’s credit portfolio and
  make appropriate recommendations to senior management for action.
• Assess the quality of the overall loan portfolio through trends and
  other analytical risk indicators, to improve credit collections and
  recoveries.
• Benchmarking quantitative and qualitative risk appetite and
  tolerances, as well as limit structures, relative to sound industry
  standards and regulatory expectations, while considering the bank’s
  business strategies.
• Analyze performance qualitatively and/or quantitatively, detecting
  emerging risks and/or deviations, and recommend actions to mitigate losses
  and improve performance and profitability.
• Perform regular portfolio surveillance including earnings review and
  credit market spreads.
• Review the Bank’s credit analytics to enhance its accuracy and
  support in the review, understanding and management of model risk to
  mitigate losses arising from errors.
• Assessment of model development and model review activities within
  various risk management domains.
• Operationalization of the model risk governance framework covering
  both model development and model validation by engaging all stakeholders
  to establish solid model risk management.
• Validation of assumptions, formulae and methodologies in the
  guidelines and processes for developing models and provision of
  recommendations in the regular improvement of the models (upgrade towards
  predictive models) to avoid and mitigate losses to the Bank; Including but
  not limited to rating parameters (EL, PDs, LGDs, EAD etc.), pricing and
  capital allocation models, RAROC framework, Credit Var estimation and
  regulatory Capital estimation (Standardized approach and Internal Rating
  Based approach).
• Validation (for improvement) of the statistics used in portfolio
  analytics such as credit limit setting, loss forecasting, allowance for
  portfolio losses, loan stress testing, capital allocation etc.
• Validation of model governance policies, standards, processes and
  procedures.
• Validation of compliance with regulatory and statutory model
  requirements.
• Advise Senior management on model risk management following
  independent model validation activities.

• The applicant for the DFCU Bank Credit Risk Specialist – Assessment
  & Validation job placement must hold an undergraduate degree in
  mathematics, statistics or quantitative economics.
• CFA qualification will be an added advantage
• Four years of working experience in a financial institution
• Knowledge of data analysis and validation tools
• Knowledge of data modelling, data cleansing, and data enrichment
  techniques
• In possession of formal research training
• Highly numerate and analytical
• Statistical modelling, interpretation and translation
• Risk management (Credit and Market Risk) and commercial grounding
• Capacity to develop and document procedures and workflows
• Knowledge on macro-economic and sector performance tools
• Ability to carry out data quality control, validation and linkage
• An understanding of data protection issues
• An awareness and knowledge of industry-specific databases and data
  sets
• Experience of statistical methodologies and data analysis techniques
• Ability to produce clear graphical representations and data visualizations
• Ability to pay attention to detail
• Ability to communicate well and be highly organized
• Ability to translate analytics and provide insight and analysis
  through clear visual, written and verbal communication.
• Highly curious and inquisitive

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