Senior Officer/ Officer, Credit Risk Modelling

Job Purpose:

• To participate in development, implementation, validation and enhancements of credit risk analytics tools to Corporate Banking, Retail Banking and Treasury. This would include IFRS 9 ECL models and internal credit scorecards for the purpose of risk quantification, internal risk management and regulatory compliance;
• Design, formulate and maintain the validation and monitoring procedures in relation to credit risk analytics tools;
• To automate, enhance and support the on-going reporting process of credit risk analytics tools;
• To handle and mitigate audit issues in relation to credit risk analytics tools;
• To conduct regular and ad hoc stress-testing exercises according to regulatory requirements and the Bank’s policies.

Main Responsibilities:

• Responsible for impairment quantification for Corporate Banking, Retail Banking and Treasury credit portfolios and keep track of impairment charge against internal KPIs;
• Prepare impairment and provision reporting on both regular and ad-hoc basis;
• Perform enhancement, validation and monitoring of credit risk analytics tools;
• To formulate and enhance credit risk stress test models and to prepare stress test results;
• Partner with Group Risk, other divisions and outside vendors on ad-hoc projects for the purpose of risk quantification, internal risk management and regulatory compliance;
• To support ad-hoc assignments as requested by supervisor.

Incumbent Requirements:

• University graduate, preferably major in Finance, Mathematics, Statistics or Quantitative Analysis;
• Solid experience in credit risk analysis, data mining and statistical modelling;
• Proficient in MS office, Excel VBA, SAS programming and Python;
• Familiar with credit related regulatory requirements, especially in Basel and IFRS 9;
• Good communication, presentation, analytical and project management skills;