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Mô Tả Công Việc
The job holder responsible for:
-Research advanced techniques applied in market risk and liquidity risk measurement, analytics and monitoring
-Research into national and international regulations and standards in market risk, liquidity risk and interest rate risk in the banking book, and provide practical solutions
-Advise solution in quantitative model development applied in market risk, liquidity risk, interest rate risk in the banking book and pre-settlemen risk for seniors in higher levels.
-Research technical application in market risk, liquidity risk, IRRBB and pre-settlement risk management
1. Data Solutioning for Credit Risk Management
- Build cutting-edge algorithms and work with machine learning and deep learning tools to deliver advance analytics solutions to support credit decision making
- Implement and monitor credit risk models in compliance with regulatory requirement and industry practices (SBV, Basel, IFRS9)
- Drive application of machine learning and big data techniques with decision strategy across customer credit life-cycle journey: underwriting & approval, early-warning, collection & recovery
- Evaluation of effectiveness of proposed models and track business performance (risk vs reward) against data analysis model.
- Manage, execute, and review complex risk-related data science projects in an agile manner, and in compliance with internal & regulatory requirements.
2. Credit Risk Analytics & Data Insighting
- Prepare credit risk management reports & insights to senior leaders and relevant units internal/external division/bank.
- Support in the assessment of portfolio and in-depth analysis by forums and boards: BOM/BOD; ARCO/ALCO; other as requested.
- Perform portfolio credit quality forecast, scenario analysis/simulation for management decision / strategic planning / ICAAP, etc…
3. Credit Risk Analytics Infrastrucutre, Research & Development
- Research, compare, apply external/alternative data sources and advanced machine learning/ deep learning techniques into risk model development as benchmarking/challenger model for continuous improvement and upskilling
- Operate and maintain credit risk feature stores and model deployment platform (batch-run model and real-time decision engine),
- Operate and maintain credit-risk related datamart and information system (debt classification, provisioning, and credit risk metrics) in accordance with regulatory and international standards (Basel II, IFRS9)
4. Projects Management
- Minimize project conflicts, challenges and dynamic business requirements to keep operations running at high performance.
- Collaborate with team Leads to resolve people problems and project roadblocks, conduct post mortem and root cause analysis to help squads continuously improve their practices to ensure maximum productivity.
Yêu Cầu Công Việc
- Minimum 07 years of experience in Banking, Risk Modeling or equivalent
- Understand international regulations and practices on Basel 2, IFRS9, and Stress-Test
- Experienced in building data and analytics solutions, data mining, statistical analysis and data visualization
- Experienced in providing analytical data insights to help senior management and other stakeholders realize enterprise value at scale
- Strategic decision thinking, able to deal with senior level stakeholders, translate tech to business and vice versa is a plus
- Bachelor's degree or higher (finance / banking / financial risk management / financial math / quantitative finance)
- Trained at university or graduate level in these fields from developed countries is a plus
- Have an internationally recognized certificate in financial analysis, financial risk management is an advantage (eg, FRM, CFA, PRM, CPA, ...)
- Experience in querying databases and using programming languages Python, R, SQL...
- English proficiency requirements are pursuant to Techcombank's policy