Chuyên Viên Quản trị Rủi Ro
Mô tả công việc
- Develop and enhance Basel II PD, LGD and EAD models.
- Conduct validation of model performance, Basel II PD, LGD and EAD models, as well as portfolio stress testing
- Measure expected credit loss (PD, LGD, EAD, EL) through 3 stages of credit risk, criteria for recognition of significant increase in credit risk, according to IFRS 9.
- Generate, analyse and standardise portfolio risk and capital reports, scorecard performance report and booking profile. Perform credit risk advise to senior management, regulators and other key stakeholders.
- Analyse product and credit programmes, including the review/estimation of risk parameters, product pricing, product structure and regulatory requirements.
- Develop and review Basel II credit risk related documentation, policies and procedures.
- Implement Basel II models, manage the scoring and capital computation engines and analytics datamart, conduct UAT and support overall deployment of models.
-Conduct training and research and development of new models, methodologies and model applications.
Yêu cầu công việc
- Undergraduate degree in a quantitative programme, such as Statistics, Mathematics, Actuarial Science, Financial Engineering, etc. Business, Finance and Economics degrees with a strong quantitative focus and highly relevant working experience will be considered. Econometric focus and analysis will be considered as a strong positive. Post graduate degree is an added advantage.
- >5 years of working experience in credit risk modeling and management or consulting or risk vendor experiences.
- Experience for models development and/or validation for both Corporate and Retail, and/or IFRS 9 implementation will be an added advantage.
- Having FRM or CFA is a plus.
- Strong PC skills: SAS,R, Matlab - Programming, Enterprise Guide, Enterprise Miner; SQL query and database familiarity; MS Office applications, including advanced spreadsheet and VBA. Knowledge of Core banking is a plus.
Analytical mind with sound business insight, excellent communicator (Verbal and written), highly meticulous, and self-motivated.
- Self-starter, flexible with a proven ability to work well in teams, as well as being able to function with minimal supervision. People management experience is a plus.
Phúc lợi công việc
- Deal with the company.
Cách thức ứng tuyển
Ứng viên nộp hồ sơ trực tuyến bằng cách bấm nút Nộp đơn dưới đây
Công ty TNHH PWC (Việt Nam)
05/01/2021
Tp Hồ Chí Minh
Nhân viên/ Có kinh nghiệm
Ngân hàng - Tài Chính
Tiếng Anh
Đại học
5 năm
Nam nữ
Công ty TNHH PWC (Việt Nam)