Contract Details
2 years contract (Contract during Basel III project and to be converted to permanent staff upon project completion subject to good performance.)
Key skills / knowledge:
- Has knowledge in Basel Internal Rating-based Approach (IRB) & the Standardized Approach of Credit Risk Weighted Assets (CRWA) and understanding of PD, EAD & LGD.
- At least 7 years of experience in Banking/Finance related field, familiar with products offered in banks and the CRWA treatment.
- Good command of Excel, Macro programming and SAS. SQL will be an added advantage.
Job Description (JD) [Outline the main responsibilities and tasks expected of the candidate]
- Participate in the discussion group on Basel III Credit Risk in identifying the additional relevant fields required for Basel III CRWA computation.
- Provide advice in interpreting the Basel III CRWA requirements and how to source the required fields for CRWA computation.
- Prepare automation change request with business requirements documentation to bring in additional fields or logic changes to comply with Basel III the Standardized Approach and Internal Rating-based Approach.
- Involvement in the user acceptance testing, including designing the test scripts, test scopes and test samples.
- Perform credit RWA impact assessment as and when required.
- Knowledge on SA-CCR is an added advantage.
