SH, Corporate Retail Modeling

SH, Corporate Retail Modeling

RHB Banking Group
10-13 years
Not Specified

Job Description


Description
Supervise the team to 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 and across the region on the designated subject area.Passion in working with advanced technique to unlock the valuable information within internal and alternative data. Looks for challenges, and seeks opportunities for improvement.
Support Head, Group Risk Modeling in relation to the respective areas stated below, be the model owner and accountable for model development methodology and central of excellent of model across the region.Technical Expertise:
    Supervise and actively involved in the development of new model or refine existing model on an on-going basis in accordance to Basel and MFRS 9 requirements. Supervise and actively involved in the development of Asset & Liability Management (ALM) behavioral based 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). Keep abreast of advance modelling approaches and techniques. Be innovative and able to apply a range of statistical and machine learning approaches knowledge of scripting and analysis languages particularly in SAS, Python. Provide technical / theoretical expertise / explore external data sources to develop, improve, and resolve modeling related issues across the region. Recommend and establish standards, guidelines and processes that improve model development approaches. Comprehensive awareness of the business, regulatory environment, technology and trends and ensure these are reflected in the models in timely and accurate manner. Owner and custody of model development documentation. Maintain clear and thorough model development documentation and ensure model risk governance is adhering to. Accountable of model performance and propose corrective action in the event of model deterioration on a timely manner. Review user requirements, functional specifications and User Acceptance Test to ensure models requirements is captured as per expected.
Leadership/Stakeholder Management:
    Mentor and supervise analysts in all aspects of data analysis and the development / enhancement, monitoring of predictive statistical models. Strong communication skills. Ability to communicate model result through compelling narratives to different business leaders and provide value added input to facilitate the use of model in business plans and strategy. Collaborate with Model Validation Team in addressing issues raised during model validation in a timely manner. Collaborate within the team in addressing the queries raised by regulators during the model review process in a timely manner. Actively involved in stakeholder management including internal such as credit management and business units in order to ensure that the models properly reflect the business and processes, and external parties such as regulators to ensure it meets regulatory requirements.

Requirements
Requirements:
Bachelor Degree - Statistics, Mathematics, Actuarial Science, Economics, Finance, Financial Mathematics.
- CFA, FRM
Minimum 10 years of relevant experiencs
  • Experience in leading a team of experienced modelers.
  • Strong knowledge of relevant regulatory requirements on risk models and risk parameters.
  • Very good understanding on the respective area's business products and operations.
  • Strong project management skills.
  • Strong analytical skills.
  • Strong statistical modeling knowledge.
  • Strong risk model application in business and credit.
  • Strong understanding of relational databases and data models.
  • Strong 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

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