Assistant General Manager, Credit Risk Methodologies and Analytics Assistant General Manager, Credit Risk  …

China CITIC Bank International Limited
in Hong Kong
Permanent, Full time
Last application, 25 Jan 21
Negotiable
China CITIC Bank International Limited
in Hong Kong
Permanent, Full time
Last application, 25 Jan 21
Negotiable
Posted by:
Jenny Lau • Recruiter
Posted by:
Jenny Lau
Recruiter
Establish credit risk methodology, systems and tools to ensure compliance with Banking Capital Rules for Basel requirements and Internal Capital Adequacy Assessment Process (ICAAP). Review regular credit impairment report to meet HKFRS-9 requirements and assess the movement of credit impairment to drive methodology enhancement.

Key Responsibilities

  • Review the methodology and system for centralizing customer exposures and relevant credit risk mitigation ensuring compliance with Basel rules according to HKMA’s regulation.
  • Evaluate and enhance the methodology, risk parameters and systems for the impairment provision estimation under IFRS-9 requirements.
  • Review the result of various Credit Risk Stress Tests including quarterly stress testing (QST), ICAPP stress testing (IST), supervisory-driven stress (SDST) testing, recovery plan stress testing (RPST) and reverse stress testing. Manage stress testing methodology to satisfy various regulatory requirement.
  • Review credit risk RWA calculation and suggest credit RWA as appropriate to meet the Bank and HKMA’s requirement.
  • Liaise with regulators, auditors, external parties and credit rating agencies.

 

Requirements

  • Degree holder in Finance, Accounting, Statistics or related disciplines.
  • 8 – 10 years’ related experience in bank or related industry.
  • Professional Qualification like Certified Credit Risk Management Professional (Credit Portfolio Management) (CCRP(CPM)), CFA or FRM is preferred.
  • Familiar with Basel frameworks and credit risk approaches (Standard, F-IRB, A-IRB) and HKMA capital banking rules.
  • Proficiency in credit risk quantitative modeling, expected loss computations, data & risk analysis and stress testing.
  • Experience in liaison with regulators.
  • Self-motivated, independent, with good communication skills, able to communicate effectively at all levels.
  • Good command of written and spoken English and Chinese including Putonghua.
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