Credit Risk Modeling (Well-known bank)

A well known commercial bank is looking for a strong credit risk modelling & stress testing candidate to maintain the methodology, risk parameters & system of the bank.

Responsibilities:

• Maintain the methodology, risk parameters and systems for the impairment provision estimation under IFRS-9 requirements. Enhance ECL calculation / reporting system / process to ensure continuous compliance of HKFRS-9 requirement.
• Conduct the BAU calculation of Stage 1 and 2 ECL through ECL system, consolidate inputs from various stakeholders to generate ECL provision reports including variance analysis, and draft ECL related disclosure.
• Perform regular credit risk stress testing (includes ICAAP, SDST, Climate Risk, Recovery Plan, and etc.), assess the stress impact from both ECL and credit RWA, and coordinate stress testing exercise with other risk owners.
• Monitor model performance of internal credit rating models and HKFRS-9 ECL models (PiT conversion, PD term structure, LGD, EAD and etc.) on regular basis, and enhance models with deficiencies on need basis.
• To support risk and other ad-hoc analytics projects in respect to requests from regulatory bodies and/or internal management. Develop and maintain in-house databases and applications for formulating new portfolio management and ad-hoc analytics.

Requirements:

• Degree holder in Finance, Accounting, Statistics, Risk Management or related disciplines, preferably with Master degree.
• 5 - 8 years of experience in risk management areas such HKFRS-9 ECL methodologies, and/or credit risk stress testing including ICAAP, SDST, Climate Risk and other bank-wide stress testing.
• Experience in the implementation of internal rating based approach under Basel framework will be an advantage.
• Sound knowledge in risk management methodology and statistical/quantitative analysis tools
• Holder of Certified Senior Treasury Management Professional (CSTMP) or Certified Treasury Management Professional (CTMP) or under the HKMA ECF on TM is preferred
• Proficiency in visual basic, SAS and other programming languages and databases is a plus
• Good command of written and spoken English and Chinese (including Putonghua)