Executive, Credit Risk Governance, Strategy Planning & Model

Executive, Credit Risk Governance, Strategy Planning & Model

• Support the Team Lead to develop and review the bank’s internal models which include corporate PD model, retail scorecard and MFRS9 ECL models.
• Assist to monitor and update macroeconomic data for ECL computation.
• Support the annual review on model governance framework and other relevant guidelines and prepare memo for management/ board’s approval.

Key Responsibilities:

• Assist to develop/ analyze MFRS9 Financial Institution Macroeconomic Model and MFRS9 Loss Given Default models based on both internal and external data.
• Assist to perform annual review on the existing models such as MFRS9 Corporate Macroeconomic Model, Behavioural Lifetime and ASEAN Corporate Model.
• Document model development and model review results and prepare memo to seek management’s approval.
• Monitor macroeconomic data such as GDP, consumer price index, unemployment rate for ECL Computation.
• Support the annual review on model governance framework and other relevant guidelines and prepare memo for management/ board’s approval.
• Assist to maintain the existing RORWA calculator and update the parameters (e.g. FTP and exchange rates) on quarterly basis.
• Support BOCHK on model related issues such as data extraction, update of Excel template and communication to local users.
• Support the Team Lead on model-related works/ issues.
• Other ad-hoc tasks assigned by the Team Lead.

Education/ Professional Qualification:

• Preferably with education background in mathematics, statistics, economics, finance, engineering or physics.
• Fresh Graduate or 1-2 years experiences in analytics or modelling related field.
• Relevant experience in developing and managing credit risk models within a financial institution.
• Knowledge of handling database and data modeling programming.
• Proficient in Excel, Python and R programming or has had exposure in other analytical tools such as SQL, SAS, etc.
• Good communication and writing skills.

Personal Attributes & Characteristics:

• High level of professional & personal maturity, able to handle internal and external stakeholders.
• Adaptable, meticulous and able to navigate through complex data.
• Strong drive and desire to succeed.
• Competent Analytical Skills.