Assistant Manager, Risk - Retail Modelling MY

Key Responsibilities

• Perform models development and ensure continued compliance with Basel requirements 
  • Develop sound and reliable Basel models and machine learning models for underwriting (Application model) and portfolio management (Behavioural model) of retail portfolios. 
  • Calibrate Basel risk parameters - PD, LGD and EAD.
  • Ensure timeliness of Basel model development and rectification. 
  • Collaborate with other risk teams to ensure submission of Basel models are comprehensive and of good quality with minimal errors to BNM. 
• Support stakeholders in understanding of model design and implementation.
  • Provide functional specification in model design as baseline for model implementation. 
  • Perform SIT and UAT for model roll out. 
  • Perform model impact analysis to manage stakeholder expectation. 
• Support model monitoring by reviewing and commenting on the quarterly performance monitoring report. Proactive in addressing model deterioration issues detected from model monitoring.
• Business units and risk peers engagement to factor in model user requirement and expectation. 
• Internal (i.e. validation unit, audit unit) and external (i.e. Regulator) stakeholders engagements to ensure models are compliant with internal governance and regulatory requirements. 
• Other traits needed to excel in role: 
  • Responsible as model onwer. 
  • Able to demostrate the rationale in model developement process and model output with stakeholders. 
  • Deliver modeling projects within timeline.

Job Specification

• Degree in numerate subject (e.g. Mathematics, Statistics, Engineering)
• CFA or FRM would be an advantage
• Expected more than 2 years experience in related field
• Excellent in any model development technique would be an advantage
• Quantitative modelling skills (i.e. SAS, Python, R) 
• Excellent oral and written communication skills in English
• Good presentation skills