To develop and maintain quantitative models / scorecards and systems for retail and wholesale portfolios and to support the group's strategies in embedding Portfolio Analytics in risk management standards and practices.
To support senior management in the regulatory engagement on matters relating to model risk management (HKMA etc)
Participate in model development for portfolios (including PD, LGD, EAD, application, behavior and collection models), ensuring model efficacy and compliance with internal policies and external regulatory requirements, ensuring successful model implementation and performance monitoring.
Work closely with model validation team to ensure adherence to the governance framework for model deployment and enswure timely closure of validation issues
Proactively engage various model stakeholders, such as credit and business, and senior management for model acceptance, approval and maintenance
University graduate or above in Statistics, Finance, and Economics is preferred.
At least 5-7 years of experience in the development / monitoring / implementation of risk models including scorecards and/or Basel 2 models retail and non-retail portfolios, including framework for stress testing and ICAAP.
Experience of end to end use of models from risk management through to capital calculation is advantageous
Good understanding of the Basel II Accord, HKMA Supervisory Requirements
Good knowledge on credit and business products.
Working knowledge of SAS and Excel is essential. Knowledge in R and Python will be an added advantage
Should you wish to have a confidential discussion, please contact Fabienne Cheng at 2520 5073
Internal Number: 4476133
About Pure Hong Kong, EA Licence No: 12S5954
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