Risk Modeling & Data Science Specialist

Risk Modeling

• Support Head, Retail Risk Modeling in relation to the respective area’s risk modeling activities.
• Assist to develop and maintain industry leading credit risk models in accordance to Basel and MFRS requirements.
• Assist to 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). 
• Assist to 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.
• Assist in preparing clear and thorough model development documentation for regulatory submission and approval.
• Prepare test script, test cases and perform User Acceptance Test to ensure model is implemented as per expected.
• 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.
• Socialize with business expert to gather business insights in respective area of data analytics.