Regulatory Credit Risk Modelling ( Financial Institution)

  • Sector: Monroe Banking & Finance
  • Contact: Airry - Chatcharynd
  • Contact Email: c.chatcharynd@monroeconsulting.co.th
  • Location: Bangkok
  • Salary: THB140000 - THB150000 per month
  • Expiry Date: 10 September 2022
  • Job Ref: BBBH399955_1657595644

Executive recruitment company Monroe Consulting is recruiting on behalf of a leading financial institution in Thailand. The company is seeking a Regulatory Credit Risk Modelling based in Bangkok. The company's mission is to help Thai people achieve better financial well-being as it is the foundation for reaching one's financial freedom and life's goals.

The position is responsible for developing, monitoring, maintaining, and optimizing credit risk models in compliance with the Credit Risk Model Governance.

Job Responsibilities

  • Develop, monitor, maintain, optimize credit risk models in compliance with the Credit Risk Model Governance
  • Facilitate understanding of credit risk modelling, credit life cycle and serve as subject matter expert in analytics
  • Work together with the agile value chain teams to gain new insights and translate them into relevant business case contribute on
  • Development of advance risk measurement/risk prevention strategies (e.g. on Concentration risks, RAROC, Risk based pricing too ls)
  • Support stress testing exercise to access the impact of adverse scenario on to adequacy of existing provision and ec ono mic capital
  • Contribute to knowledge development initiatives (newer, better methods)
  • Focus on developing new analytical approaches and techniques
  • Analyse portfolio quality, measure credit risk performance
  • Conduct statistical analysis and provide statistical information to evaluate risk to assist Portfolio Manager to improve credit process/policies for better portfolio quality
  • Support strategic decisions for profitable growth such as campaign management, cross selling
  • Take on more topics that require more challenging/complex approach

Job Requirements

  • Bachelor or master's degree in risk management, Statistics, Mathematics or other related fields
  • Experience in banking or finance service industry with emphasis on credit modelling will be advantageous
  • Knowledge of development, monitoring, and implement of Bank's credit risk models (bank wide), IFRS 9, Basel II and III
  • Machine Learning, SAS, Python, R, Spark, Hadoop (ecosystem)
  • SAS, SQL. Familiar with Oracle, Graph databases
  • Good understanding in IFRS 9 and BOT Credit Risk Model
  • Able to use quantitative tools, statistical modelling techniques, and data mining
  • Stress Testing for impact from Credit Risk
  • Good command of English
  • Communication and presentation skills