The IFRS 9 Expected Credit Loss (ECL) Model Review Specialist will support the engagement team in assessing, validating, and documenting the client's ECL models and related methodologies. The role requires strong technical expertise in Basel and IFRS 9 modelling, quantitative analysis, model validation, and audit support. The specialist will perform independent reviews and calculations, identify potential issues, quantify impacts, and contribute to reporting conclusions for engagement leadership.

All work performed will be subject to review and approval by the Engagement Manager.

Key Responsibilities

Model Methodology Review

• Review the client's ECL methodology documentation and supporting model development documentation.
• Assess model assumptions, methodologies, and governance processes.
• Evaluate risks of material misstatement related to the ECL calculation and associated financial reporting.
• Document review procedures, observations, and conclusions in working papers.

Model Implementation Review

• Assess how the client has implemented ECL models, calculations, and related processes.
• Verify that implementation aligns with approved methodologies and documentation.
• Document review procedures, testing performed, and results in audit working papers.

Reperformance and Independent Testing

• Independently replicate the client's ECL model calculations and implementation.
• Perform independent calculations and analyses using Excel, SAS, R, Python, or other appropriate analytical tools.
• Validate model outputs, calculations, assumptions, and data usage.
• Prepare comprehensive documentation of reperformance procedures and results.

Findings and Impact Assessment

• Identify errors, deficiencies, exceptions, or potential findings arising from methodology reviews, implementation testing, and independent calculations.
• Quantify the impact of identified issues on Expected Credit Loss provisions and related financial statement balances.
• Document quantification methodologies, assumptions, and results.

Reporting and Stakeholder Support

• Provide technical input for the preparation of the Credit Specialist Memo for the signing partner.
• Assist in summarizing procedures performed, findings identified, conclusions reached, and overall impact assessments.
• Participate in client meetings and internal engagement discussions.
• Communicate technical findings clearly to engagement team members and stakeholders.

Project Management and Reporting

• Provide weekly progress updates to the Engagement Manager.
• Track and report hours spent on individual tasks and deliverables.
• Ensure all working papers and supporting documentation meet professional and engagement quality standards.

Required Qualifications

• Degree in Statistics, Mathematics, Actuarial Science, Quantitative Finance, Economics, Data Science, Accounting, Finance, or a related discipline.
• Relevant experience in banking risk modelling, credit risk analytics, model validation, model audit, or quantitative assurance services.
• Strong understanding of IFRS 9 Expected Credit Loss (ECL) frameworks.
• Experience with Basel credit risk models and regulatory capital frameworks.