Credit Risk Modelling (Wholesale/ Retail Banking)

You will be working in a regional credit risk modelling team looking after Asia Pac, mostly for corporate banking business with a focus on IFRS9 provision and stress testing.

Responsibilities

- Assist to ensure global consistency in the development, implementation, and monitoring of wholesale credit risk stress testing and IFRS9 methodology, policies and systems.

- Improved measurement of risk-related capital resources
- Work closely with the global team and other stakeholders on the review and re-development of credit risk stress testing and IFRS9 models
- Support the development and monitoring of risk policies, processes and tools that facilitate risk based business management
- Management of research, review, formulation and revision of IFRS9 policies and guidelines

Requirements

- Degree holder or above in Statistics, Risk Management, Mathematics, Finance or a related field
Experience

- Experienced in banking industry, including experience in Risk and in a business line (preferably corporate)
- Good understanding of IFRS9, in particular the changes in Impairment requirements
- Good understanding of credit risk stress testing, enterprise wide stress test etc
- Hands on experience in stress testing, IFRS9 and Basel modelling and validation
- Prefer to have experience in Basel 2/3 and HKMA regulatory capital rules
- Hands on experience in S+, R, Python, SAS or any programming language
- Possess strong communication skill and manage to explain complex concept in simple term