Manager, Credit Risk Governance, Strategy Planning & Model

Manager, Credit Risk Governance, Strategy Planning & Model

Key Responsibilities

1. Develop and review the Bank’s internal models which include corporate PD model, retail scorecard and MFRS9 ECL models.
2. Monitor macroeconomic data and propose macroeconomic projections for management’s approval to apply for ECL computation.
3. Develop and perform annual review on model governance framework and other relevant guidelines and prepare memo for management/board’s approval.
4. Conduct training on new model launches and provide on-going user support of model related issues.
5. Develop/analyze MFRS9 Financial Institution Macroeconomic Model and MFRS9 Loss Given Default models based on both internal and external data.
6. Perform annual review on the existing models such as MFRS9 Corporate Macroeconomic Model, Behavioural Lifetime and ASEAN Corporate Model.
7. Analyze the performance of Retail Application Scorecard after parallel-run and prepare for the formal launch of the new scorecard.
8. Document model development and model review results and prepare memo to seek management’s approval.
9. Monitor macroeconomic data such as GDP, consumer price index, unemployment rate and propose reasonable projections for management’s approval. Submit the approved projections to RMD Reporting Team for ECL Computation.
10. Maintain the existing RORWA calculator and update the parameters (e.g. FTP and exchange rates) on quarterly basis.
11. Support BOCHK on model related issues such as data extraction, update of Excel template and communication to local users.
12. Address model related recommendations raised by model validators and auditors.
13. Perform UAT on the system implementation of credit models and scorecard.
14. Provide on-going user support on model related issues.

Job Requirements

Education/Professional Qualifications:

• Bachelor’s Degree and above, preferably in Mathematics, Statistics, Economics, Engineering, Finance or Physics.
• Relevant experience in developing and maintaining credit risk models (PD, EAD and LGD) and MFRS9 ECL models.
• Ability to communicate effectively with internal stakeholders (including Business, CAD and parent bank) and external stakeholders (including regulators, auditors).
• Experience in managing portfolio review such as coordinating portfolio stress test with Business and CAD and analyzing data for presentation to management.

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.

Knowledge/Tools/Skills

• Strong analytical and quantitative skills.
• Good knowledge of statistical analysis, MFRS9 ECL and Basel models.