Credit Risk Manager

  • Competitive Remuneration Package
  • Selangor, Malaysia
  • Permanent, Full time
  • KPMG in Malaysia
  • 27 Sep 16

Development of credit risk measurement models; focusing on Basel Internal Ratings Based (“IRB”) and IFRS credit loss modelling (under IAS 39 and IFRS 9 standards).

Level: Manager and above
• Candidate must possess at least a Professional Certificate, Bachelor Degree, Professional Degree in Mathematics, Statistics, Computer Science, Actuarial Science, Economis, Engineering or similar quantitative field.
• 4+ years of working experience ; 2-5 years of actual hands on experience designing and development Expected Loss models.
• 2+ years of project management / lead role (supervisory role) and /or consulting experience.
• Familiarity with SAS solutions (e.g. SAS EG and E Miner) including SAS ETL process.
• Familiarity with banking products.
• Project management experience.
• Quantitatively inclined with a good understanding of application statistics and mathematics.
• Develop, review and / or validate credit, market or operational risk measurement models.

Level: Senior Associate to Assistant Manager

• Candidate must possess at least a Professional Certificate, Bachelor Degree, Professional Degree in Mathematics, Statistics, Computer Science, Actuarial Science, Economis, Engineering or similar quantitative field.
• 2-5 years of actual hands on experience designing and development Expected Loss models.
• Retail and non-retail portfolios / segments.
• PD, LGD and EAD modelling.
• Familiarity with SAS solutions (e.g. SAS EG and E Miner) including SAS ETL process.
• Familiarity with banking products.
• Quantitatively inclined with a good understanding of application statistics and mathematics.
• Develop, review and / or validate credit, market or operational risk measurement models.
• Highly motivated individuals with an interest in developing a career in financial risk management/ banking industry/consulting are encouraged to apply.