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Manager / Assistant Manager, Credit Risk Modeling and Analytics (Banking)

Employer
Talent Axis
Location
Hong Kong, Hong Kong
Salary
Negotiable
Closing date
Oct 13, 2022

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Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Key Responsibilities
  • Support credit rating model performance monitoring & validation in order to enhance credit rating models for the Bank.
  • Perform regular credit impairment provision, i.e. Expected Credit Losses "ECL", and coordinate inputs from various stakeholders.
  • Maintain the methodology, risk parameters and systems for the impairment provision estimation under IFRS-9 requirements.
  • Prepare regular credit risk stress testing and coordinate stress-testing exercise.
  • Participate in the Basel Credit RWA and SA-CCR implementation project.
  • Prepare regular CVA/DVA reports and to review and maintain parameters.
  • Prepare ICAAP exercise and to maintain parameters.
  • Participate in system enhancement project, including the framework for MGL and ROAC estimation.
  • Review data validation and variance analysis of the movement of credit impairment provision.
  • Enhance existing processes, methodologies and reports to meet various regulatory requirements.
  • Participate in various projects to enhance the risk management system and internal credit rating models.

Requirements
  • Degree holder in Finance, Accounting, Statistics, Risk Management or related disciplines.
  • 3-5 years of relevant experience in bank or related industry.
  • Familiar with Basel frameworks, credit risk approaches and HKMA capital banking rules.
  • Proficiency in credit risk quantitative modeling, expected loss computations, data & risk analysis and stress testing.
  • Professional qualification like ECF-CRM, CFA, FRM or ACCA etc. is an advantage.
  • 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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