Assistant General Manager, Credit Risk Methodologies and Analytics
- Employer
- China CITIC Bank International Limited
- Location
- Hong Kong, Hong Kong
- Salary
- Negotiable
- Closing date
- May 5, 2021
View more
- Job Function
- Risk Management
- Industry Sector
- Finance - General
- Employment Type
- Full Time
- Education
- Bachelors
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Key Responsibilities
Requirements
- Review the methodology and system for centralizing customer exposures and relevant credit risk mitigation ensuring compliance with Basel rules according to HKMA's regulation.
- Evaluate and enhance the methodology, risk parameters and systems for the impairment provision estimation under IFRS-9 requirements.
- Review the result of various Credit Risk Stress Tests including quarterly stress testing (QST), ICAPP stress testing (IST), supervisory-driven stress (SDST) testing, recovery plan stress testing (RPST) and reverse stress testing. Manage stress testing methodology to satisfy various regulatory requirement.
- Review credit risk RWA calculation and suggest credit RWA as appropriate to meet the Bank and HKMA's requirement.
- Liaise with regulators, auditors, external parties and credit rating agencies.
Requirements
- Degree holder in Finance, Accounting, Statistics or related disciplines.
- 8 - 10 years' related experience in bank or related industry.
- Professional Qualification like Certified Credit Risk Management Professional (Credit Portfolio Management) (CCRP(CPM)), CFA or FRM is preferred.
- Familiar with Basel frameworks and credit risk approaches (Standard, F-IRB, A-IRB) and HKMA capital banking rules.
- Proficiency in credit risk quantitative modeling, expected loss computations, data & risk analysis and stress testing.
- Experience in liaison with regulators.
- Self-motivated, independent, with good communication skills, able to communicate effectively at all levels.
- Good command of written and spoken English and Chinese including Putonghua.
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