Mô tả công việc
Develop and enhance Basel II PD, LGD and EAD models.
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.
Yêu cầu công việc
Undergraduate 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.
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.
Phúc lợi công việc
Deal with the company.