What We Can Offer
-Conduct validation of model performance, Basel II PD, LGD and EAD models, as well as portfolio stress testing
-Measure expected credit loss (PD, LGD, EAD, EL) through 3 stages of credit risk, criteria for recognition of significant increase in credit risk, according to IFRS 9.
-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 II 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
-Conduct training and research and development of new models, methodologies and model applications
- >5 years of working experience in credit risk modeling and management or consulting or risk vendor experiences
-Experience for models development and/or validation for both Corporate and Retail, and/or IFRS 9 implementation will be an added advantage.
-Having FRM or CFA is a plus
-Strong PC skills: SAS,R, Matlab - Programming, Enterprise Guide, Enterprise Miner; 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