Senior Executive, Risk Modelling

Overview

Assist direct superior to perform effective role of policy setting as well as development of relevant tools and methodologies to identify, measure, mitigate and report significant and emerging risks brought about by the business and operational activities to improve the Group’s overall risk profile.

Responsibilities

• Assist immediate superior to develop, communicate and maintain the internal rating models used by the Bank to assess its customers and counterparties. Models include Basel PD, EAD and LGD estimation models.
• Report and work with immediate superior to design appropriate tools and framework to assess the models developed and used by the Bank.
• Undertake independent validation of the Bank’s models to determine their discriminatory capacity (rank ordering power) and derive consistent and predictive estimates (calibration) of the relevant risk parameters under the guidance of direct superior.