1, Development, Review, and Upgrade of Credit Risk Measurement Models (e.g., Scoring/Rating, PD, LGD, EAD, Risk Pricing, Expected Loss, Economic Capital, Stress Testing, IFRS, etc.):
• Organize, assign, and guide staff in the development, review, and upgrade of risk measurement models.
• Develop a plan and execute the construction, review, and enhancement of risk measurement models.
• Document and archive all materials related to the process of developing, reviewing, and upgrading models (in accordance with internal regulations on risk measurement model governance of the Bank).
• Establish regulations, processes, policies, and guidelines related to the construction/deployment/review of risk measurement models.
• Communicate and train on risk measurement models.
• Analyze and propose the application/adjustment/improvement of risk measurement models.
2, Collaboration in Building and Upgrading Databases, Tools, and Systems for Credit Risk Measurement:
• Organize, assign, and guide staff in building databases for risk measurement purposes, including identifying data requirements, conducting data validation, and documenting and archiving all materials related to the database construction.
• Organize, assign, and guide staff in developing and upgrading risk measurement tools and systems:
• Develop User Requirements Documentation (URD), create test cases, conduct User Acceptance Testing (UAT), and develop/adjust user manuals for tools/systems.
• Communicate and train users on the utilization of risk measurement tools and systems.
• Document and archive all materials related to the construction and upgrading of tools/systems, user manuals, and user training.
3, Monitoring and Reporting on the Operation of Credit Risk Measurement Tools and Systems:
• Organize, assign, and guide staff in the governance/monitoring and reporting of the operation of risk measurement tools and systems:
• Support business units and address user inquiries.
• Monitor and report potential operational risks related to the tools/systems (user behavior, system errors, etc.).
• Adjust parameters of tools/systems (as authorized), modify or request modifications to tools and systems; test tools/systems after adjustments/modifications; document and archive all related materials.
• Identify, receive, aggregate, and resolve issues arising in the application of risk measurement models, tools, and systems.
• Propose solutions for (i) revising/upgrading/developing risk quantification models, tools, and systems; (ii) amending related documentation.
4, Management of Unit Objectives:
• Develop detailed plans, assign tasks, and monitor the progress of work implementation.
• Evaluate the performance of employees within the unit.
• Train and support the professional development of employees in the unit; participate in the adjunct faculty program as mobilized by the Training Center.
• Participate in recruitment efforts and build the team under management.
• Update, disseminate, guide, and assign staff to implement relevant institutional documents.
• Foster a professional, effective, and cohesive working environment within the unit.
• Report to direct leadership on (i) the progress and quality of work, (ii) arising issues and solutions during the implementation process.
- A minimum of 5 years in developing credit risk models/model validation/credit risk analysis, data analysis and statistics, or in Finance/Banking, with at least 2 years in a managerial role.
- Education: Bachelor's degree in Finance, Economics, Banking, or Mathematics. Preference will be given to:
• Candidates who graduated in relevant specialized fields such as Financial Mathematics, Economic Mathematics, Econometrics, or Mathematical Informatics.
• Candidates who have studied abroad or hold a Master's degree.
• Candidates with work experience in Finance/Banking, Banking Risk Management, and a good understanding of Machine Learning.
• Proficient in English for business communication.
• Candidates familiar with working in an Agile Model environment.
- Knowledge of credit risk model development and credit risk management, including counterparty credit risk.
- Understanding of Basel II regulations.
- Familiarity with policies/regulations/processes within the unit: Well-versed in internal policy processes as well as legal regulations.
