Job Description

• Corporate Rating models, which includes the Basel II’s PD, EAD and LGD estimates and MFRS9 Models PD, EAD and LGD, and MEV models
• Involved in Basel3 Reform, EL and RWA, MFRS9 for Wholesale Banking Portfolio
• Conduct Bottoms up Stress Test for Wholesale Banking Portfolio and assess Potential Vulnerable Accounts
• Conduct Climate Risk Stress Test for Wholesale Banking portfolio in line with BNM requirements, encompassing Transition Risk and Physical Risk for Wholesale Portfolio
• Obtain endorsement and approvals for model reviews from internal and Group senior management

Qualifications

• Recognized PhD/Master’s/Bachelor’s Degree in a quantitative discipline (Mathematics, Actuarial, Statistics, Finance, Financial Engineering, Engineering)
• Preferably >5 years experience in Credit Model Environment
• Experience building AI models with Python coding capabilities
• Strong analyt...