Associate - Credit Risk Modelling (Consulting)

We help clients meet the increasing demands of regulators, shareholders and other stakeholders to ensure robust and reliable approaches to governance, risk management and compliance with regulations. We provide a full suite of governance, risk management and compliance services covering the assessment, design and implementation of governance, risk management, compliance and internal control frameworks, performing board effectiveness assessments, risk assessments, development of risk appetite, tolerances and early warning systems to internal audit department evaluations and set-up and outsource internal audits.

We are currently seeking for Associate based in Ha Noi office with the details of the vacancy below:

Key Responsibilities:

• Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards.

• Conduct validation of model performance, Basel II PD, LGD and EAD models, as well as portfolio stress testing.

• Generate, analyse and standardise portfolio risk and capital reports, scorecard performance report and booking profile. Perform credit risk advise to senior management, regulators and other key stakeholders.

• Analyse product and credit programmes, including the review / estimation of risk parameters, product pricing, product structure and regulatory requirements.

• Develop and review Basel/ IFRS9 credit risk related documentation, policies and procedures.

• Implement Basel II models, manage the scoring and capital computation engines and analytics datamart, conduct UAT and support overall deployment of models.

• Undertake advanced data analysis and modeling to support business decision-making, leveraging techniques including statistical analysis, machine learning, and predictive modeling.

• Stay abreast of emerging technologies, including cloud computing and Generative AI (GenAI), and explore their potential applications within the organization to optimize operations and drive innovation in risk management practices.

• Conduct training and research and development of new models, methodologies and model applications.

Requirements:

• Graduate degree in a quantitative programme, such as Statistics, Mathematics, Actuarial Science, Financial Engineering, etc. Business, Finance and Economics degrees with a strong quantitative focus and highly relevant working experience will be considered. Econometric focus and analysis will be considered as a strong positive. Post graduate degree is an added advantage.

• Fresh graduated or from 1 year of working experience in credit risk modelling and management or consulting or risk vendor experiences.

• Experience for models development and/or validation for both Corporate and Retail will be an added advantage.

• Having FRM or CFA is a plus.

• Strong PC skills: Python, R,…, SQL query and database familiarity; MS Office applications, including advanced spreadsheet and VBA. Knowledge of Core banking is a plus.

• Analytical mind with sound business insight, excellent communicator (verbal and written), highly meticulous, and self-motivated.

• Self-starter, flexible with a proven ability to work well in teams, as well as being able to function with minimal supervision. People management experience is a plus.

• Enable the candidate to be a credible counterpart to business managers and senior management, and the ability to develop on-going ‘trusted advisor’ relationships based on the ability to understand, analyse, discuss and address key business challenges raised.