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Manager – Credit Model Validation (Bank)

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Banking & Finance
Job Ref. SPGHK0232020017
Location Hong Kong
Date posted 2020-02-06

Our client, a leading bank, is looking for Manager to join their credit risk modeling team to cope with the bank’s expansion.

 

Job Description:

  • Evaluate the performance, appropriateness, applicability and suitability of credit risk PD/LGD/EAD models, or relevant models (e.g. stress testing, economic capital, IFRS 9 impairment modeling) across retail, corporate, financial institution and sovereign exposures in compliance with regulatory requirements and best practices.
  • Execute qualitative validation, including assessment of model development methodology, assumptions, empirical judgments, potential limitations, implementation and use-test etc.
  • Execute quantitative validation, including preparing validation datasets, identifying data quality issues, performing statistical tests from different performance dimensions.
  • Manage validation process including planning and executing of project activities, coordinating and communicating with different parties.
  • Prepare validation reports, document findings and make recommendations of enhancing model framework to senior management or related stakeholders.
  • Review policies and procedural guidelines regularly.

 

Job Requirements:

  • Bachelor Degree holder in Risk Management, Statistics/ Applied Mathematics, Quantitative Finance or related disciplines preferably with professional qualification in ACCA/ CPA/ CFA/ FRM / PRM;
  • In-depth knowledge in Basel requirements, IFRS 9 and banking practices in credit risk models validation is essential;
  • At least 5 years banking experience in the validation of credit risk models and hands-on experience is preferred;
  • Sound knowledge in statistical and quantitative analysis and familiar with SAS, Excel VBA, SQL and MS office;
  • Analytical, independent, possession of good communication and interpersonal skills;
  • Proficient in both spoken and written English and Chinese, fluent in Putonghua are preferable.

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