Job Summary:
Leads the implementation of the Basel Framework and BSP directives that are relevant to sound risk management monitoring and compliance with capital requirements. Tasked to oversee and conduct the assessment of the Bank's substantial exposures in line with the independent credit review directives under BSP Circular 855.
How will you contribute:
- Strategizing the appropriate coverage, theme, evaluation and monitoring under the Bank's independent credit review process.
- Ensuring accurate interpretation and timely generation of reports relevant to regulatory requirements affecting the Bank's overall capital position.
- Develop and monitor credit risk models including regular validation and analytical investigations of the parameters as well as evaluation of the performance of the models.
- Ensures that the models are properly implemented and integrated in the credit scoring system and support/assist in the proper deployment of the models in the system as well as timely updating of the parameters in the Loan Origination System.
- Overseeing model performance assessments, stress testing, and other quantitative regulatory requirements assigned to the team.
- Performs model validation reports and prepares documentation.
- Acts as a moderating influence on the activities of credit units through the prompt identification of any problem areas that arise from the unit's origination activities.
- Provides inputs to the efforts of lending/ collection units by promptly identifying potential problem accounts.
- Monitors credit concentration risk through regular review of the loan portfolio for any significant shifts in loan volume across different demographics and products segments.
- Determine health and quality of the loan portfolio through regular analysis of the makeup existing loan portfolio. Track changes in demographic variables and credit parameters overtime.
- Compute for ECLs and performs model review to continuously enhance ECL.
- Scorecard Data Validation. Ensure Data Quality/Validation prior pre and post implementation of Scorecard
- Determines, monthly, the adequacy of booked Allowance for Credit Losses against the specific and general reserves requirement of the Bank and ensures compliance with the existing BSP rules and regulations in loan loss provisioning to prevent sanctions and penalties that may be imposed by BSP due to erroneous reporting.
- Identifies non-performing loans (NPL) in accordance with the BSP definition and prepares monthly report on past due and NPL levels and ratios to support the Controllership Group reports and for the internal/external audit.
- Prepares the monthly Past Due Accounts Report (bank-wide). Coordinates with the respective Account Officers on providing the status of past due accounts, collection efforts and action plans, and updating required data such as collateral information, and payments lodged under accounts payable (AP).
- Monitors and analyze credit concentration risk.
- Prepare reports pertaining to portfolio composition/ segmentation, portfolio quality and loss valuation and portfolio concentration for presentation to the Risk Oversight Committee
- Provides credit and credit concentration risk information for the ICAAP
- Produces the regular reports and presentations of the division.
- Perform ad hoc analyses as requested by the supervisor.
What will make you successful:
- Bachelor's Degree, preferably a major in Statistics, Mathematics, Business Administration, Economics, Accounting or Financial Management
- At least one (1) year work experience in quantitative risk analysis, risk modeling, and Expected Credit Loss computation.
- Knowledgeable in R/Python and SQL is preferred but not required, working knowledge in data analytics using Microsoft office applications. Preferably with background in credit, market, and operational risks.
