AVP, Credit Risk Analytics & Projects (Credit Policy & Analytics Department)

Responsibilities:

• Actively participate in bank-wide risk related projects, e.g. new Basel III Reform, reserve stress testing, regulatory CVA calculation, IFRS system enhancement, Credit-Lens system review etc., to work closely with counterparties, including Finance, IT, business units and external vendors for requirements definition, testing and subsequent system implementations
• Identify gaps, data issues and recommend enhancements to fulfill internal policies and regulatory requirements; and study the impact for the new implantations
• Retrieve data, perform data mining and collect data from relevant units to enrich the reporting data-mart to create and continuous enhance of MIS reports for reporting to senior management
• Plan, review and enhance the risk models and methodologies of ECL and stress testing
• Liaise with different units to formulate credit MIS processes, data management projects and implement new initiatives such as IFRS9, BELR, SA-CCR and climate risk management etc.
• Establish and carry out credit risk stress test and capital estimation for ICAAP, SDST and climate risk stress testing

Requirements:

• Bachelor Degree in Risk Management, Statistics, Quantitative Finance or related disciplines
• Holder of ECF_CRM is preferred
• Minimum 5 years’ experience in banking, with exposure in credit risk modelling, data mining and analytics
• Relevant project experience in implementation of risk applications/systems
• Good knowledge of IFRS9, BELR, SA-CCR, SDST, ICAAP, Climate Risk Stress Testing
• Sound knowledge in statistical analysis and familiar with programming in SAS, Excel VBA, SQL and R
• Good communication, presentation and analytical skills