Risk Modeling Consultant - IFRS9 ECL

Unison Consulting Pte Ltd; Singapore; On-site; SGD 80,000 - 120,000; Full time

Job summary

A consulting firm in Singapore is seeking a candidate skilled in developing and implementing ECL frameworks. The role requires strong expertise in ECL modeling, credit risk, and regulatory reporting. Familiarity with SAS and programming in Python is essential. The position involves close collaboration with stakeholders to ensure compliance and successful implementation of risk models.

Qualifications

• Proven experience in IFRS 9, ECL modeling, and regulatory reporting.
• Strong expertise in PD/LGD/EAD modeling and stress testing.
• Excellent programming skills in Python, R, or SQL.

Responsibilities

• Develop and implement ECL framework for exposures.
• Design recommended ECL model aligned with IFRS 9 standards.
• Integrate ECL solution with SAS and APIs for reporting.

Skills

IFRS 9

ECL modeling

Credit risk modeling

Regulatory reporting

Python

SAS

Analytical skills

Tools

SAS (Risk Management, IFRS 9 modules)

Excel

APIs

Job description

Job Description & Responsibilities:

Key Responsibilities

• Develop and implement ECL framework covering both collateralized and non-collateralized exposures.
• Define and document the approach for computing ECL, including Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), and discounting methodologies.
• Research, compare, and evaluate at least 3 different ECL modeling approaches (e.g., Vintage Analysis, Roll Rate Models, Transition Matrix, Monte Carlo Simulation) to recommend the most suitable model.
• Design and deliver a recommended ECL model aligned with regulatory and IFRS 9 standards.
• Build an ECL Calculator/Template (Excel-based prototype) with capability for automation and scalability.
• Integrate ECL solution with SAS, IFRS 9 solutioning tools, and APIs for seamless system connectivity and reporting.
• Work closely with Risk, Finance, and IT stakeholders to ensure model validation, governance, and compliance.
• Provide support in regulatory reporting, model documentation, and audit requirements.

Requirements

• Proven experience in IFRS 9, ECL modeling, credit risk modeling, and regulatory reporting.
• Strong expertise in PD/LGD/EAD modeling, macroeconomic overlays, and stress testing.
• Hands-on experience with SAS (SAS Risk Management / SAS IFRS 9 modules) and Excel-based calculators.
• Experience in system integration via APIs for risk and finance data flows.
• Knowledge of statistical modeling, machine learning, and quantitative risk techniques.
• Strong programming skills in Python, R, or SQL (preferred).
• Excellent analytical, problem-solving, and communication skills.

Good to Have

• Experience with Big 4 advisory, banking, or financial institutions.
• Familiarity with Basel III/IV, Stress Testing, ICAAP, and Credit Risk Capital frameworks.
• Knowledge of cloud platforms (Azure, AWS, GCP) for risk model deployment.