Assistant Vice President, Finance Business Finance Advisory & Financial Reporting Standards My

Malaysia, Malaysia

Job Description


:

As a key developer for IFRS9 Credit Risk Modelling, Monitoring & Analytics role.

Job Responsibilities:

  • Malaysia Modeling
  • As a key developer of FRS9 models ( Probability of Default , Loss Given Default and Exposure at Default).
  • To study actual historical data and support stakeholders if the business portfolio have sufficient data to develop a robust performance model for Expected Credit Loss quantification.
  • To conduct in-depth analysis and data preparation for various model components. Example: Model assumptions, recovery data, cure data, discount rate, workout period, data exclusions, risk drivers and etcs.
  • To analyze and study the optimal selection of performance data period range is the best to reflect the business portfolio.
  • To explore and investigate change in customer behaviour in different time event.
  • To identify appropriate model scope and detect homogeneity pool to be incorporated as risk assessment.
  • To conduct backtesting to validate the predictive power of the models.
  • Revamp modelling methodology through various statistical analyses and research papers to optimize the model and make recommendation for improved/new model design and methodology.
  • To incorporate efficient and effective forward-looking measurement to derive a forward-looking provision that includes the expected impact of macroeconomic condition
  • To evaluate the impact model changes on Expected Loss and provide management an insightful information for decision making.
  • Collaboration work with Risk, Finance, Economist and Business stakeholders in order to obtain qualitative inputs for model improvements.
  • Worked closely with risk validation team and PWC to ensure closure of issue arising from reviews and redevelopment.
  • Responsible in ensuring that the model documentation and all closure of model planning are in order for audit and regulatory purposes.
  • Preparing model approval memo for management presentation and decision.
  • Regional Modeling & Advisory
  • Provide Niaga modelling methodology advices and knowledge sharing/workshop regarding Group\'s modelling approach.
  • For SG, TH, PH, KH, similar to Malaysia modelling scope when modelling services is required. In addition, need to conduct knowledge transfer, sharing session, on-site walkthrough or workshop for the regional team.
  • Monitoring & Analytics Specialist
  • Monitoring server system enhancement, automation and process improvement.
  • To maintain the usage of monitoring server, availability of data sources flow into monitoring server.
  • To study and prepare monitoring system change request (CR), FSD, user requirement and conduct UAT.
  • To determine scopes and model components to be monitored.
  • To design and develop programming code to execute model monitoring function by portfolio and types of models respectively.
  • To track and provide critical model performance insights.
  • To advice regional team regarding any monitoring area and knowledge sharing/ workshop when necessary.
  • To support queries from internal & external auditors and regulators. Provide insightful information to external auditors for their assessment and recommendation to the bank.
  • To design visualization and populate result in MRMWG.
  • Assist to conduct insightful and impactful business performance metrics and quantitative dashboard with in-depth analytics and trends.
  • To conduct quality and quantity analysis on the trend, movement, portfolio profiling from PD/LGD/EAD model point of view.
  • To utilize the appropriate technology tools/ systems to visualize analysis
**Only shortlisted candidates will be notified

CIMB

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Job Detail

  • Job Id
    JD928480
  • Industry
    Not mentioned
  • Total Positions
    1
  • Job Type:
    Full Time
  • Salary:
    Not mentioned
  • Employment Status
    Permanent
  • Job Location
    Malaysia, Malaysia
  • Education
    Not mentioned