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AI-generated summary
This job is Assistant Vice President, Data Modeller. You might like this job because you get to lead data modeling projects, advise on model optimization, and collaborate with teams to enhance risk assessment.
Undisclosed
Kuala Lumpur, MY, 50100, Kuala Lumpur
Job Description
• To develop, implement, monitor and conduct refinement on FRS9 model in compliance with guidelines and BNM requirement, ensuring the model remains robust and responsive to various scenarios in line with the bank’s policy and risk appetite.
• To review tasks performed by junior modelers, offer clear instruction, guidance and coaching to improve efficiency and productivity of the team while strengthening the team spirit.
Key Responsibilities
• To take the lead in developing, implementing, continuously monitoring and refining of ECL (Expected Credit Loss) model covering all the key components, which includes:
- PD (Probability of Default)
- EAD (Exposure at Default)
- LGD (Loss Given Default)
- FL MEV (Forward-Looking Macro-economic models)
- SICR (Significant Increase in Credit Risk)
• To take on post implementation roles, which includes:
- Develop reports with analytical insights for Management review and presentation.
- Analyze and track the effectiveness of implemented strategies and model adjustment.
- Explore and recommend strategies for model optimization, stability and workflow efficiency.
• To advise on requirement and treatment for model implementation and ECL calculator enhancement, collaborate closely with GIS and data vendor, monitor UAT progress and propose solutions to any challenges that arise, ensuring successful deployment and accuracy of ECL computation.
• Facilitate information gathering sessions to understand core banking system and its impact on downstream data, get informed with the latest bank strategy and direction, design model treatments for newly launched product(s), ensuring proactive adaptation in line with the bank’s strategic goals.
• Conduct model walkthroughs and technical sharing with management and stakeholders to align understanding across and obtain valuable feedback for further improvement, develop ECL simulation scenarios to help quantifying potential impact and support informed decision-making.
• Review SOPs and model documentation to ensure incorporation of any model changes, reflecting the latest practice, methodology and governance processes.
• Identify and escalate potential key risk factors that could impact model performance and ECL to senior management, assist to facilitate timely interventions when necessary.
• Review and evaluate the work of junior modellers, provide constructive feedback and knowledge transfer to enhance the team modelling technique, understanding of model construct, banking products nature and ECL calculator management.
Comprehensive training and development programs.
Performance-based bonuses and incentives. Health and medical insurance coverage for employees and their dependents.
Commitment to diversity and inclusion.
Last active - few hours ago
0 - 10 Years of Experience
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