Trưởng Phòng Tư Vấn Rủi Ro (Tín dụng)
TNHH PWC (Việt Nam)
Tp Hồ Chí Minh
1 ngày trước

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.
  • Báo cáo công việc này

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