Job details
Support Head, Retail Risk Modeling in relation to the respective area’s risk modeling activities. Technical Expertise:
- 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).
- Assist to develop early warning model which predicts the likelihood of a customer moving from performing to arrears.
- Assist in preparing clear and thorough model development documentation for regulatory submission and approval.
- Assist in preparing 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.
- Prepare test script, test cases and perform User Acceptance Test to ensure model is implemented as per expected.
- Socialize with stakeholders including internal and business experts to gather business insight in the respective area of model development and data analytics, as well as to ensure the model is implemented as per expected.
- CFA, FRM
- Minimum 1-2 years experiences or fresh graduate in good relevant qualifications.
- Good understanding of the respective area’s business products and operations.
- Good analytical skills.
- Good statistical modeling knowledge.
- Good understanding of relational databases and data models.
- Have you worked in a role which requires experience with statistical modelling?
- Which of the following statements best describes your right to work in Malaysia?
- What's your expected monthly basic salary?
- How many years' experience do you have as a Data Specialist?
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