AM/ Manager, Model Validation (Risk Management Dept)

Responsibilities:

• Handle data cleansing for model development purpose

• Responsible for IRB model development or enhancement, including Non-retail, Financial Institution and Retail models

• Monitor IRB model regularly

• Responsible for ECL model development and enhancement, including FEG/PIT/PD/LGD/EAD/Behavior Life models

• Responsible for Stress testing model development, including ICAAP stress testing, SDST and CRST

• Responsible for IRB model application and system enhancement

Requirements:

• Degree holder preferable in Mathematics, Statistics or Economics or other relevant disciplines

• Minimum 3 years relevant experience

• Qualifications of FRM/CFA/CPA is preferred

• Proven ability to independently develop or validate internal rating models, with a focus on Non-retail customer rating models, Low-default portfolio rating models

• Experience in developing or validating ECL (Expected Credit Loss) provisioning models

• Hands-on experience in credit risk stress testing or climate risk stress testing models

• Knowledge of SAS/Python/R is a preferred

• Proficiency in both spoken and written English and Chinese