Assistant Vice President - Risk Analytics

alrajhi bank Malaysia; Kuala Lumpur; On-site; MYR 180,000 - 280,000; Full time

Job summary

alrajhi bank Malaysia is seeking an Assistant Vice President - Risk Analytics to support the Head - Market Risk & Risk Analytics in developing, implementing and governing the bank's risk analytics framework. The role focuses on oversight of risk models across MFRS 9, Basel III, ICAAP, stress testing, climate risk and model risk governance.

You will drive model development, validation, monitoring and regulatory compliance, coordinate with risk and IT teams, vendors, and regulators, and lead

Qualifications

• Bachelor's degree in Banking, Finance, Risk Management or Actuarial Science with statistical knowledge.
• Over 7 years in Banking, with at least 5 years in Credit/ Market / Operational Risk and MFRS 9 modelling.
• MBA in Actuarial Studies, Banking and Finance preferred; professional qualifications such as CT3, FRM, PRM are a plus.
• Experience in Islamic banking environment is preferred.
• Experience implementing Basel / MFRS 9 / risk systems.

Responsibilities

• Develop and update Credit, Market and Operational Risk models.
• Ensure regulatory compliance and group standards relating to risk models and methodologies.
• Lead governance of MFRS 9 impairment methodology.
• Coordinate risk model development with stakeholders and vendors throughout the project lifecycle.
• Lead implementation of risk systems and oversee vendor models.
• Respond to audits and regulatory queries relating to risk models and validations.
• Maintain model governance policies and guidelines including MFRS 9 Guideline.
• Establish/ improve Market Risk/ALM/ liquidity risk infrastructure and reporting.
• Support Basel III, ICAAP, Stress Testing and RoR reporting.
• Provide guidance to business units for risk identification and measurement.
• Institute SAS and VBA for MIS analysis.
• Submit ad-hoc data requests from regulators and internal stakeholders.

Skills

Statistical knowledge

Risk management

Leadership

Education

Bachelor's degree in Banking/Finance/ Risk Management

MBA in Actuarial Studies, Banking and Finance

CT3/FRM/PRM qualifications

Tools

SAS

VBA

Job description

The Assistant Vice President - Risk Analytics will support the Head - Market Risk & Risk Analytics in driving the development, implementation, enhancement and governance of the Bank's risk analytics framework. This role is responsible for the oversight of risk models and methodologies across areas including MFRS 9, Basel III, ICAAP, stress testing, climate risk, credit scorecards, behavioural analytics and model risk governance.

The incumbent will play a key role in strengthening the Bank's risk management capabilities through risk model development, validation, monitoring and regulatory compliance, while supporting strategic initiatives involving risk systems, advanced analytics, AI-enabled solutions and climate-related risk management. The role also provides analytical support across Market Risk, Corporate Credit Risk and Retail Credit Risk to support informed decision-making and effective risk oversight throughout the Bank.

What will you do:

• Development and updating of all Credit, Market and Operational Risk models / methodologies.
• Ensure compliance with regulatory requirements and Group standards (where applicable) relating to risk models, methodologies and risk management practice.
• Perform a lead role in the maintenance, enhancement, and governance of MFRS 9 Impairment methodology.
• Executing the bank wide activities related to Risk models namely:
• Assist the Head of Market Risk & Analytics in development, implementation and periodic review of risk models and methodologies including Credit scoring for both Corporate and Retail, MFRS 9, RAROC, behavioural analysis and other risk analytics initiatives by coordinating with relevant stakeholders and vendors throughout the project lifecycle.
• Perform a lead role in the implementation of risk systems in the Bank.
• Oversee vendor risk models and systems.
• Respond to internal audit, external audit and regulatory queries relating to risk models, methodologies and validations.
• Maintain and review model governance policies, procedures, methodologies and guidelines, including but not limited to the MFRS 9 Guideline, Management Overlay Guideline, and Model Governance Policy.
• Executing the bank-wide activities related to Market Risk namely:
• Establish and/or improve the Market Risk / ALM and Liquidity risk infrastructure, putting in place reports and methodologies documents.
• Ensure that risk models and methodologies used are in line with regulatory requirements and standard/market practices.
• Assist in reviewing and ensure accurate reporting of information for related regulatory reporting, including implementation of reporting for any new regulatory requirements related to Basel III, ICAAP, Stress Testing, RoR in the Banking Book etc.
• Provide guidance and support to business and support units to ensure successful management, identification, measurement and monitoring of the bank’s credit, market and operational risks.
• Provide analytical support for climate-related risk initiatives, including climate risk assessment, scenario analysis, climate-related disclosures, sustainability reporting and other climate-related risk management activities
• Identify, assess and implement opportunities to leverage Artificial Intelligence (AI), Generative AI (GenAI), machine learning and advanced analytics techniques to enhance risk analytics, reporting, model development, documentation, data analysis and operational efficiency.
• Support the deployment, testing and user adoption of new risk-related applications, analytical tools and AI-enabled solutions, including providing feedback, conducting user acceptance testing (UAT) and ensuring alignment with regulatory and internal governance requirements.
• Lead the development, implementation and maintenance of model risk management policies, methodologies and governance standards for AI and AI-enabled models, including model validation, performance monitoring, independent review requirements and regulatory compliance.
• Coordinate the Comprehensive Risk Assessment exercise as part of the Bank's Internal Capital Adequacy Assessment Process (ICAAP), including the preparation, consolidation and timely submission of the ICAAP Report.
• Execute stress testing exercises, including Semi-Annual Stress Testing and Climate Risk Stress Testing, and support the development of relevant methodologies and assumptions.
• Perform from time to time any other assignments delegated by Chief Risk Officer and Head of Market Risk & Risk Analytics.
• Support the Asset Liability Management Committee, Executive Risk Management Committee and Board Risk Management & Compliance Committee in identifying and rectifying the key risk concerns of the Bank.
• Institute SAS and VBA as the main tools to automate and produce comprehensive MIS analysis.
• Timely and accurate submission of ad-hoc request from BNM, ARB-KSA or internal stakeholders.
• Resolve data integrity issues in data warehouse to ensure accurate information presented and work with technology team on any new information system development.
• Act as the backup for Department Compliance and Risk Officer (DCORO).
• The particular duties and responsibilities attached to posts may vary from time to time without changing the general character of the duties or the level of responsibility entailed.

Skills, certifications and experience you possess:

• Bachelor's Degree in related fields from any university, preferably in Banking / Finance / Risk Management / Actuarial Science / Statistics with knowledge in statistics and modelling.
• Possess more than 7 years of Banking experience, of which a minimum of 5 years in Credit/ Market / Operational Risk Management with direct experience in MFRS 9 modelling and implementation.
• Preferably MBA holder specialized in Actuarial Studies, Banking and Finance. Professional Qualifications such as CT3 (Actuaries’ professional Paper on Probability and Mathematical Statistics), FRM, PRM added advantage.
• Candidates with Credit / Market / Operational Risk/ MFRS9 experience in an Islamic Banking Environment is preferred.
• Experience in implementing Basel / MFRS 9 / risk systems / models / methodologies.
• Knowledge of BNM Regulatory reporting requirements.