Perform models development and ensure continued compliance with Basel requirements
Develop sound and reliable Basel models and machine learning models for underwriting (Application model) and portfolio management (Behavioural model) of retail portfolios.
Calibrate Basel risk parameters - PD, LGD and EAD.
Ensure timeliness of Basel model development and rectification.
Collaborate with other risk teams to ensure submission of Basel models are comprehensive and of good quality with minimal errors to BNM.
Support stakeholders in understanding of model design and implementation.
Provide functional specification in model design as baseline for model implementation.
Perform SIT and UAT for model roll out.
Perform model impact analysis to manage stakeholder expectation.
Support model monitoring by reviewing and commenting on the quarterly performance monitoring report. Proactive in addressing model deterioration issues detected from model monitoring.
Business units and risk peers engagement to factor in model user requirement and expectation.
Internal (i.e. validation unit, audit unit) and external (i.e. Regulator) stakeholders engagements to ensure models are compliant with internal governance and regulatory requirements.
Other traits needed to excel in role:
Responsible as model onwer.
Able to demostrate the rationale in model developement process and model output with stakeholders.
Deliver modeling projects within timeline.
Job Specification
Degree in numerate subject (e.g. Mathematics, Statistics, Engineering)
CFA or FRM would be an advantage
Expected more than 2 years experience in related field
Excellent in any model development technique would be an advantage
