Vice President, Risk - Non-Retail Modelling MY

Vice President, Risk - Non-Retail Modelling MY

CIMB THAI
Not Specified
Not Specified

Job Description


  • To develop and maintain credit stress test models for regulatory and internal risk management purposes as well as supporting other modelling and analytical efforts for CIMB Group and its subsidiaries.

Stress Test Modelling
  • Develop and maintain credit stress test models for retail and non-retail portfolios in accordance with Basel requirements.
  • Versed in modelling techniques and Basel quantification requirements to guide the Bank in strategic planning of models use and development
  • Maintain documentation on methodology and standards.
  • Engage internal and external stakeholders (Business, credit, regulator etc ).

Stakeholders engagement as model owner:
  • Partners Business Units and Support Units to develop and implement models
  • Communicates with Regulators, Auditors, and Validators to ensure models are compliant with the Basel requirements
  • Supports Business Units on analytics aspects of external parties engagement

Other responsibilities may include supporting the team in:
  • Developing scorecards and models for retail and non-retail portfolios in accordance with Basel requirements
  • Calibrating risk parameters (Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD)) in accordance with Basel requirements
  • Developing alternative credit underwriting models using advanced analytics with traditional and non-traditional data
  • Developing credit risk applications using machine learning techniques
  • Support regional modelling teams
Qualifications
  • Degree in numerate subject (e.g. Mathematics, Statistics, Engineering).
  • Proficient in programming (e.g. SAS, Python, R, etc)
  • CFA or FRM would be an advantage.
  • Experience in Basel Stress Testing model development would be an advantage
  • Experience in team management
  • Excellent oral and written communication skills in English
  • Good presentation skills
  • Experience in resource allocation and project management to prioritise and deliver modelling projects within timeline
  • Strong excel and coding (SAS, Python/R, SQL) skills.
  • Database management skills
  • Understanding of Basel II or III concepts
  • Understanding of Regulatory Stress Testing and Stress Test Modelling
  • Familiarity in data science and using machine learning
  • Eagerness to learn, with mindset of questioning and cross-checking information
  • Ability to form and defend their views yet being receptive to views of others

About CIMB THAI

Job Source : cimbcareers.taleo.net

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