IFRS 9 (General Provisioning) and Stress Testing Model Development, Risk Management Group

DBS; Singapore; On-site; SGD 90,000 - 130,000; Full time

Job summary

A leading financial institution in Singapore is looking for an experienced professional to manage IFRS 9 (General Provisioning) and Stress Testing Model Development. This role emphasizes credit risk stress test execution and model development, particularly for retail exposures. Candidates should possess a strong understanding of modelling theories, excellent proficiency in Python, Pyspark, Excel, and SQL, and a minimum of 10 years of relevant experience. Competitive salary and benefits package offered.

Benefits

Competitive salary and benefits package

Dynamic working environment

Qualifications

• Strong understanding of credit risk modelling for retail exposures.
• Minimum of 10 years of relevant experience in risk management.
• Experience with IFRS 9 and stress testing models, and regulatory standards.

Responsibilities

• Execute credit risk stress testing under various regulatory requirements.
• Support model development for IFRS 9 ECL models.
• Lead systemization and technical initiatives, including User Acceptance Testing.
• Engage key stakeholders and promote governance in model usage.

Skills

Statistical and econometric theories

Credit risk modelling

Python

Pyspark

Excel

SQL

Stakeholder management

Education

University degree in Finance, Statistics, Mathematics, Economics or related field

Job description

Job Description - IFRS 9 (General Provisioning) and Stress Testing Model Development, Risk Management Group (WD78242)

Business Function

Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.

Job Purpose

The team is responsible for the end-to-end process of regulatory stress testing and IFRS 9 general provisioning, encompassing model development, execution, reporting, and stakeholder engagement. This role primarily focuses on credit risk stress test execution for ICAAP, IWST, and Pillar 1, as well as development and enhancement of IFRS 9 and stress testing models. Emphasis is placed on retail exposures, though exposure to non-retail portfolios is advantageous. Role rotation within the team is expected to foster integration and career progression.

Responsibilities

Stress Testing Execution & Analytics

• Execute credit risk stress testing under Pillar 1, IWST, SDST, ICAAP, and other MAS/HKMA regulatory requirements.
• Conduct deep dives and trend analyses of stress test results to derive insights and highlight key risk areas.
• Evaluate the intuit and credibility of stress outcomes, with a focus on retail behavior under stress.

IFRS 9 and Stress Testing Model Development

• Support model development, enhancement, and recalibration for IFRS 9 ECL models, especially for PD, LGD, and EAD models
• Propose and develop improvements to methodologies, championing conceptual soundness and regulatory alignment.
• Monitor model performance in use and provide feedback to enhance model reliability and business relevance.

Systems, Automation & Reporting

• Lead systemisation and tech initiatives by documenting user requirements, reviewing specifications, and conducting user acceptance testing (UAT).

Stakeholder Engagement & Governance

• Explain and defend methodologies, assumptions, and results to key stakeholders including Senior Management, Model Validation, Internal Audit, and Regulators.
• Collaborate with internal teams (e.g., Finance, Risk, Technology) to align model usage, reporting, and governance.
• Identify and implement process improvements to enhance the team's operational efficiency.
• Contribute to knowledge sharing and role rotations to strengthen cross‑functional capabilities within the team.

Requirements

Functional/Technical Competencies

• Strong understanding of statistical, econometric, and modelling theories, with practical application in credit risk modelling (particularly for retail exposures).
• Knowledge of credit and business banking products, including how they behave under stress conditions
• Proficiency in Python, Pyspark, Excel and SQL for data analysis and model development.
• Experience in developing and using IFRS 9 and stress testing models (PD, LGD, EAD), with understanding of regulatory expectations under IFRS 9, MAS 637, and Basel standards.
• Strong team player with a collaborative mindset and willingness to contribute across functions.
• Demonstrated ability in stakeholder management, including interaction with senior management, model validators, auditors, and regulators

Education and Relevant Experience

• University graduate or post-graduate with major in Finance, Statistics, Mathematics, Economics or other quantitative discipline
• Minimum 10 years of relevant experience in areas described above

Apply Now

We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.