Location: Bangunan AmBank Group, Jalan Raja Chulan
Job responsibilities:
- Develop and implement wholesale credit risk models in accordance with approved model specifications.
- Work with guidance from Team Lead / Unit Head during model development and enhancement activities.
- Ensure models meet internal model risk governance standards and regulatory requirements (BNM Basel II/III IRB, MFRS 9).
- Collaborate with vendors and external consultants on joint model development initiatives.
- Address findings raised by independent model validators, regulators (BNM), and internal/external auditors.
- Monitor model performance using the agreed monitoring framework on a timely basis.
- Identify performance deterioration, gaps, or issues and propose corrective action plans.
- Discuss monitoring results and recommendations with Team Lead / Unit Head.
- Recalibrate or enhance models as required and ensure successful rollout.
- Support the Model Implementation team in deploying and maintaining models in the MEP PCCM system.
- Address production issues related to model inputs, outputs, data quality, and system logic.
- Resolve system configuration and data-related issues, including scripting, UAT support, and automation.
- Produce accurate and timely model monitoring and risk reports with sound analytical insights.
- Automate report generation to improve efficiency and turnaround time.
- Prepare materials for quarterly working group and committee presentations.
- Provide regular updates to Team Lead / Unit Head on progress, issues, and action plans.
- Ensure compliance with internal policies, regulatory standards, and model risk governance frameworks.
- Resolve all issues and audit control requirements (ACRs) within agreed timelines.
- Maintain at least C rating for Model Performance Review (MPR) and ensure good BNM CRR ratings.
- Participate in on-the-job training and continuous learning initiatives.
- Contribute to cross-functional knowledge sharing on modeling frameworks, methodologies, and system configurations.
- Maintain positive working relationships with peers, stakeholders, and related units.
Job Requirements:
- Bachelor's Degree in Actuarial Science, Statistics, Mathematics, or a related quantitative discipline
- At least 3–5 years of experience in credit risk model development and/or model management with hands-on experience with credit risk modeling methodologies and systems.
- Strong understanding of MFRS 9 and Basel II/III IRB regulatory requirements.
- Adept in following skillsets: Credit Risk Modelling, Model Monitoring & Analytical Skills, Knowledge of MFRS 9, Basel II / Basel III IRB Knowledge, SAS / SQL Programming (core)
