Risk Modelling Manager

Location Kuala Lumpur
Discipline Agriculture
Job reference 167874
Salary 13000.0
Consultant name Subhachintak Chand
Contact email [email protected]
Contact no. 03-20870000
Contact name Subhachintak Chand
Contact email [email protected]
Contact no. 03-20870000

Risk Modeling Analyst (Retail)

Salary: RM13,000
Location: KL

Primary Objective

  • Support development and the monitoring of the industry leading regulatory compliant credit risk models, also internal models for early warning as well as behavioral models for Asset Liability Management (ALM) for effective risk management and decision making in the Bank on the designated subject area.

Key Responsibilities

Risk Modeling
  • Support Head, Retail Risk Modeling in relation to the respective area’s risk modeling activities.
  • 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) and Net Stable Funding Ratio (NSFR). 
  • Assist to develop early warning model which predicts the likelihood of a customer moving from performing to arrears, collaborate with business in developing a customer strategy for ‘at-risk’ customers.
  • Assist in preparing clear and thorough model development documentation for regulatory submission and approval.
  • Prepare test script, test cases and perform User Acceptance Test to ensure model is implemented as per expected.
  • Prepare 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.
  • Socialize with business expert to gather business insights in respective area of data analytics.

Requirements
  • Candidate must possess at least a Bachelor's Degree, Post Graduate Diploma, Professional Degree, Master's Degree, Computer Science/Information Technology, Finance/Accountancy/Banking, Mathematics or equivalent.
  • At least 2 year(s) of working experience in the related field is required for this position.
  • Preferably Senior Executives specializing in Banking/Financial Services or equivalent.
  • Good understanding on the respective area’s 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.
  • Full-Time position(s) available.