Credit Risk Modelling

  • Competitive
  • Kuala Lumpur, Malaysia Kuala Lumpur Kuala Lumpur MY
  • Permanent, Full time
  • OCBC Bank (Malaysia) Berhad
  • 23 Jun 18 2018-06-23

Credit Risk Modelling

To develop, implement and maintain quantitative models / scorecards and systems to assess the default likelihood, recovery expectations and volatility for different segments of the Bank's consumer portfolio

Roles and Responsibilities :

  • Develop, implement and maintain credit rating models for the measurement and management of credit risk for different segments of the Bank's portfolios.
  • Develop and maintain user requirements, parameters and configurations of rating systems for different customer segments.
  • Monitor, back test and report performance of the models.
  • Work closely with independent model validators to ensure adherence to the governance framework for model deployment and ensure timely closure of validation issues.
  • Active engagement with stakeholders to develop analytic solutions using outputs from such models in credit decisioning, business strategies, risk appetite setting and capital assessment
*LI-LCH

Qualifications
  • Good university degree in a quantitative discipline (e.g. Mathematics, Statistics, Financial Engineering etc) with a clear ability for handling data and performing quantitative analysis.
  • Analytical and independent thinker with strong written and verbal communication skills especially in explaining complex technical subjects in a simple/pragmatic way to business and senior management.
  • Strong data manipulation and computational skills preferably in SAS or SQL
  • At least 3 years and 5-7 years of relevant experience in a related area for the Senior Analyst and Lead Analyst positions respectively.
  • Experience in risk analytics or credit risk management in wholesale or consumer portfolios will be an advantage.