Assistant Manager, Risk - Retail Modelling MY
- Malaysia
- Permanent
- Full-time
- Perform models development and ensure continued compliance with Basel requirements
- Develop sound and reliable Basel models and machine learning models for underwriting (Application model) and portfolio management (Behavioural model) of retail portfolios.
- Calibrate Basel risk parameters - PD, LGD and EAD.
- Ensure timeliness of Basel model development and rectification.
- Collaborate with other risk teams to ensure submission of Basel models are comprehensive and of good quality with minimal errors to BNM.
- Support stakeholders in understanding of model design and implementation.
- Provide functional specification in model design as baseline for model implementation.
- Perform SIT and UAT for model roll out.
- Perform model impact analysis to manage stakeholder expectation.
- Support model monitoring by reviewing and commenting on the quarterly performance monitoring report. Proactive in addressing model deterioration issues detected from model monitoring.
- Business units and risk peers engagement to factor in model user requirement and expectation.
- Internal (i.e. validation unit, audit unit) and external (i.e. Regulator) stakeholders engagements to ensure models are compliant with internal governance and regulatory requirements.
- Other traits needed to excel in role:
- Responsible as model onwer.
- Able to demostrate the rationale in model developement process and model output with stakeholders.
- Deliver modeling projects within timeline.
- Degree in numerate subject (e.g. Mathematics, Statistics, Engineering)
- CFA or FRM would be an advantage
- Expected more than 2 years experience in related field
- Excellent in any model development technique would be an advantage
- Quantitative modelling skills (i.e. SAS, Python, R)
- Excellent oral and written communication skills in English
- Good presentation skills