Lead Data Scientist

About the role

We are looking for an experienced credit risk modeller to lead the development of Expected Credit Loss (ECL) models for our Retail and MSME portfolios. This role primarily focuses on hands-on IFRS 9 ECL modelling, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).

What you'll do

• Lead the end-to-end development and enhancement of IFRS 9 ECL models across Retail and MSME portfolios
• Develop 12-month and lifetime PD models, including term structures, point-in-time calibration and the incorporation of forward-looking macroeconomic information
• Develop LGD models covering recovery patterns, cure behaviour, workout periods, collateral, costs and discounting
• Develop EAD and credit conversion factor models for term loans and revolving credit facilities
• Design and enhance ECL methodologies covering portfolio segmentation, default definitions, increase in credit risk, staging and multiple economic scenarios

What you need

• 8–14 yrs of experience
• Python
• SQL
• Pandas
• Scikit-learn
• Statistics
• NumPy
• M.Sc or CFA

Good to have

• AWS
• Test automation
• CI/CD
• CFA
• Git
• Credit risk