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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

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Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Key Responsibilities
  • 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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