Job Description

Working Hour Regular Hours
Monday - Friday



Business Area Risk & Credit Management



Location Malaysia - Kuala Lumpur










Description


Support the development and the monitoring of the credit risk models, also behavioral models for Asset Liability Management (ALM) for effective credit risk management and decision making in the Bank on the designated subject area.
Key Responsibilities: Support Head, Corporate Risk Modeling & Data Science in relation to the respective area\xe2\x80\x99s risk modeling activities.
Technical Expertise:

• Assist to develop and maintain industry leading credit risk models in accordance to Basel and MFRS requirements.
• Assist to develop Asset Liability Management (ALM) behavioral model to identify the behavior of deposits and loans for application in Interest Rate Risk in the Banking Book (IRRBB)/Rate of Return Risk in the Banking Book (RORBB)
• Assist in preparing clear and thorough model development documentation for regulatory submission and approval.
• Assist in preparing model performance monitoring report for timely reporting to the management committee, the monitoring report served to provide insights to ensure correct use of model and enable critical decision making related to model recalibration or refinement.
• Prepare test script, test cases and perform User Acceptance Test to ensure model is implemented as per expected.
• Socialize with stakeholder including internal and business expert to gather business insight in the respective area of model development and data analytics, as well as to ensure the model is implemented as per expected.

Requirements

Formal Education:

Statistics, Mathematics, Actuarial Science, Economics, Finance, financial mathematics, Data Science

Professional Accreditation:

CFA, FRM

Preferred level of Experience (by years/function/industry):

Minimum 1-2 years experiences or fresh graduate in good relevant qualifications.
Other skills required:

• Good understanding on the respective area\xe2\x80\x99s business products and operations.
• Good analytical skills.
• Good statistical modeling knowledge.
• Good understanding of relational databases and data models.
• Good programming skills in data handling and statistical modeling.

Benefits
Dental, Education support, Miscellaneous allowance, Medical, Loans, Sports (e.g. Gym), Parking, Vision, Regular hours, Mondays - Fridays, Casual Business Wear, Performance Based Rewards