Job Description
Responsibilities:
- Formulate stress test models for the Retail and Commercial portfolios, estimate the impact in impairment and monitor stress test results;
- On-going monitor and validate the models. Recommend and implement alignments;
- Responsible for loan loss forecasting and keep track of impairment charge against budget figures;
- Prepare and monitor impairment and provisioning reporting for P&L and regulatory requirements;
- Take part in IFRS 9 validation and enhancement projects;
- Partner with Group Risk, other divisions and outside vendors on the IFRS 9 and BASEL projects to meet the compliance in accordance with internal and external regulatory requirement.
Requirements:
- University graduate preferably major in Finance, Mathematics, Statistics, Quantitative Analysis or related disciplines;
- Over 4 years’ experience in credit risk analysis and modelling;
- Familiar with application or system (e.g. Excel, Access, Unix and VBA etc.) and other statistical tools;
- Good data analytics knowledge with expertise in SAS and / or SQL;
- In depth knowledge of credit risk management, hands-on experience on data warehouse and data modelling;
- Familiar with credit related regulatory requirements e.g. Basel, IFRS 9;
- Good analytical and project management skills.