Connecting...

Section Head, Group Risk Modeling

Job title: Section Head, Group Risk Modeling
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: 4 months ago

Job description

About our client

Our client is one of Local Bank in Malaysia.

 

About the role

Section 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.

 

Your responsibilities

  • 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) behavioural 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.

 

You will have

  • Minimum 10 years of relevant experiences.

  • 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. 

Get similar jobs like these by email

By submitting your details you agree to our T&Cs