Loan Loss Methodology

The maintenance of the Bank's Loan Loss Methodology (LLM) requires the expertise of a statistician or somebody with a working knowledge on the application of statistical tools/methods who can calibrate the parameters (i.e. PD, LGD and EAD) of the Expected Credit Loss (ECL) model developed by Vixion Analytics which was used in the computation of the Allowance for Credit Losses (ACL) of the Bank's loan portfolio and other assets (i.e. SCR and AR). The LLM custodian will be mainly responsible for collecting data (i.e. total loan portfolio, repossessed data, foreclosure expenses, approved credit lines, written-off data, etc.) that will be used in updating / calibrating the ECL parameters. He will also pursue the regular computation, monitoring and maintenance of the ECL estimates including its parameters.

Job Type: Full-time

Work Location: In person