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Risk Management Manager Model Validation

Hong Kong Job Consulting
Hong Kong
Posted 5 days ago Permanent HK$40k - HK$60k
W
Posted by
Wing San Wong
Recruiter
A reputable China-based Bank with its Group Company listed in Hong Kong is looking for a high-calibre Credit Risk Manager in developing credit risk rating models & systems in Risk Management Department.

Responsibilities:

▪ Evaluate the performance, appropriateness, applicability and suitability of credit risk PD/LGD/EAD models, or relevant models (e.g. stress testing, economic capital, IFRS 9 impairment modeling) across retail, corporate, financial institution and sovereign exposures in compliance with regulatory requirements and best practices

▪ Execute qualitative validation, including assessment of model development methodology, assumptions, empirical judgments, potential limitations, implementation and use-test etc.

▪ Execute quantitative validation, including preparing validation datasets, identifying data quality issues, performing statistical tests from different performance dimensions

▪ Manage validation process including planning and executing of project activities, coordinating and communicating with different parties

▪ Prepare validation reports, document findings and make recommendations of enhancing model framework to senior management or related stakeholders

▪ Review policies and procedural guidelines regularly

 

Requirements:

▪ Master or Bachelor Degree holder in Risk Management, Statistics/ Applied Mathematics, Quantitative Finance or related disciplines preferably with professional qualification in ACCA/ CPA/ CFA/ FRM / PRM

;▪ In-depth knowledge in Basel requirements, IFRS 9 and banking practices in credit risk models validation is essential;

▪ At least 4 years banking experience in the validation of credit risk models and hands-on experience is preferred;

▪ Sound knowledge in statistical and quantitative analysis and familiar with SAS, Excel VBA, SQL and MS office;

 ▪ Analytical, independent, possession of good communication and interpersonal skills; 

▪ Proficient in both spoken and written English and Chinese, fluent in Putonghua are preferable.

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