Model jobs in Malaysia

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JOB PURPOSE

Lead person responsible in matters relating to credit models of the bank, which involves development of credit models, calibration of models, monitoring of model performance, resolving model issues, supporting model users and escalating model issues to the management when necessary.

KEY RESPONSIBILITIES

1. Responsible for developing credit models and reviewing model development methodologies when external consultants are assigned for model development. This includes A-Score, B-Score, PD, EAD, and LGD models and MFRS 9 models for Retail and Non-Retail products.
2. Monitoring of credit models and scorecards performance and reporting them to management in a consistent and timely manner.
3. Enhancing and calibrating existing models when applicable to ensure scorecards perform as expected for business decisions.
4. Ensuring all models and scorecards implementation into the system are tested and verified before going live.
5. Involvement in MFRS9 project and future modelling projects - ensuring modelling methodologies are acceptable, validating vendor's work, and participating in implementation UAT from model aspects.
6. Supporting business unit/model users on credit model related matters and raising issues concerning models to management for further actions.
7. Resolving model validation findings within a stipulated timeframe and obtaining management and board approvals on credit model matters, including new model development, calibration, enhancements, and validation resolutions.
8. Enhancing models/scorecards systems when applicable.

SKILLS/KNOWLEDGE

1. Statistical background, preferably with at least 10 years’ experience in analytics or modelling BASEL 2 models.
2. Proven experience in developing and managing credit risk models within a banking or financial institution.
3. Proficient in Excel and SAS EG or SAS Base, or has had exposure to other analytical tools and is willing to learn SAS programming.
4. Experience in managing and guiding subordinates.
5. Leadership skills to guide and mentor junior team members.