Credit Risk Modeling & Analytics Officer

JOB SUMMARY

Responsible for developing, implementing and monitoring credit risk models, generating analytics reports to monitor the composition and delinquency of the corporate/consumer-secured/consumer-unsecured loan portfolio, analyzing portfolio risks and providing feedback to Senior Management.

DUTIES & RESPONSIBILITIES

Develop models for estimating the PFRS 9 risk parameters (i.e. probability of default, loss given default, and exposure at default) used in calculating expected credit loss (ECL) for the BPI Group’s loan portfolio, covering large corporate, SME, FI/insurance, auto, housing, credit cards, personal loans and SEME (microfinance); implement the ECL models monthly to calculate the required ECL

Develop and implement large corporate and SME credit risk rating models / consumer behavioral scorecards using SAS programs to determine the probabilities of default of the bank’s customers

Generate reports to monitor the performance of credit rating/scoring models using various statistical measures in order to determine whether predictive power is still acceptable

Generate credit risk analytics reports to monitor loan volume, composition, delinquency rates and borrower profile, which are used as inputs for risk monitoring and management

Prepare ad hoc loan portfolio reports as requested by various units for use in business unit reviews, management reporting, etc.

Maintain and ensure the availability and integrity of the credit rating/scoring database by periodic data clean-up and back-up of program files and data sets

Automate and validate manual processes used for report generation to ensure efficiency and accuracy

SKILLS & QUALIFICATIONS

Bachelor’s Degree in Mathematics / Actuarial Science / Statistics or any related field

At least one and half years’ experience as a SAS programmer