Job Description

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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