Risk Modeling Manager

Risk Modeling Manager

RHB Banking Group
3-4 years
Not Specified

Job Description



Description

Develop and maintain industry leading regulatory compliant credit risk models, also behavioral models for Asset Liability Management (ALM) to support effective risk management and decision making in the Bank on the designated subject area.
Risk Modeling
  • Support Section Head, Corporate Credit Modeling in in relation to the respective area's risk modeling activities.
  • Able to develop and maintain industry leading credit risk models in accordance to Basel and MFRS requirements with minimum supervision.
  • 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).
  • Socialize with business expert to gather business insight in the respective area of model development and data analytics.
  • Presents and discusses analysis, model approach, model results and its thought/rational within working group.
  • Prepare user requirements, review functional specifications and perform User Acceptance Test to ensure models requirements is captured as per expected.
  • Prepare clear and thorough model development documentation for regulatory submission and approval.
  • 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.
  • Review and on-going improvement to model performance monitoring process and automation.


Requirements
  • Degree in Statistics, Mathematics, Actuarial Science, Economics, Finance, Financial Mathematics or professional qualification inCFA, FRM
  • Minimum 3-4 years relevant experiences in model development
  • Good knowledge of relevant regulatory requirements on risk models and risk parameters.
  • 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.


Benefits

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Job Details

Employment Types:

Function:

IT

RHB Banking Group is a multinational regional financial services provider that is committed to delivering complete solutions to customers through differentiated segment offerings and an ecosystem that supports simple, fast and seamless customer experiences, underpinned by a cohesive and inspired workforce, and relationships built with stakeholders.

Job Source : rhbgroup.is-hiring.com

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