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Risk Modelling Manager (Retail)

Job title: Risk Modelling Manager (Retail)
Contract type: Permanent
Location: Kuala Lumpur
Sector:
Salary: RM10,000 - RM 15,000 per month
Contact name: Maheswary Kandasamy
Contact email: maheswary.kandasamy@ellwoodconsulting.com.my
Published: 5 months ago

Job description

About our client

Our client is one of Local Bank in Malaysia.

 

Your responsibilities

  • Support Section Head, Retail Risk Modeling in relation to the respective area’s risk modeling activities.

  • Able to work with huge datasets to develop and maintain industry leading credit risk models in accordance to Basel and MFRS requirements.

  • 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). 

  • 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.

  • 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 in model development, model performance monitoring process and automation.

 

You will have

  • Minimum 3-4 years relevant experiences.

  • 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.

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