Asst. Manager/Manager - Impairment Loss & Data Management (Credit Control Group)

Aeon Credit Service; Kuala Lumpur; On-site; MYR 90,000 - 120,000; Full time

Job summary

A financial services company in Kuala Lumpur is seeking an Asst. Manager/Manager specialized in Impairment Loss & Data Management. The successful candidate will develop ECL models in accordance with IFRS 9 and handle data management tasks, requiring a background in quantitative fields and a minimum of 5 years of experience in credit risk modeling. Proficiency in programming languages such as Python, R, and SAS is essential, along with strong analytical skills and effective communication capabilities.

Qualifications

• Bachelor’s or Master’s degree in Quantitative Finance, Statistics, Economics, Mathematics, Data Science, or related field.
• Minimum 5 years of experience in credit risk modelling, ECL/IFRS 9 model development or validation.
• Strong proficiency in programming and data analysis (Python, R, SAS, or SQL).
• Sound understanding of Basel/IFRS 9 regulatory frameworks and model lifecycle governance.

Responsibilities

• Develop and maintain ECL models for various asset classes in line with IFRS 9 / MFRS 9 requirements.
• Perform data extraction, data checking, feature engineering, and statistical analysis.
• Document model methodologies, assumptions, and limitations comprehensively.
• Collaborate with Finance, Risk, and IT teams to ensure alignment with financial reporting standards.
• Monitor model performance and flag any deviations or drifts.

Skills

Programming

Data analysis

Analytical skills

Effective communication

Education

Bachelor’s or Master’s degree in relevant fields

Tools

Python

R

SAS

SQL

Job description

Asst. Manager/Manager - Impairment Loss & Data Management (Credit Control Group)

Develop and maintain ECL models (PD, LGD, EAD) for various asset classes in line with IFRS 9 / MFRS 9 requirements.

Perform data extraction, data checking, feature engineering, and statistical analysis using Python, R, or SAS.

Document model methodologies, assumptions, and limitations comprehensively.

Collaborate with Finance, Risk, and IT teams to ensure model outputs are aligned with financial reporting standards.

Conduct benchmarking, backtesting, and sensitivity analysis to ensure model robustness.

Liaise with external validator, addressing their validation points for model recalibration, redevelopment, or enhancement, ensuring the adherence to internal governance and regulatory requirements.

Work together with external consultant for model refinement, to optimise the ECL provision.

In charge of ECL automation and IL forecasting process.

Monitoring and Governance

Monitor model performance regularly and flag any deviations or drifts.

Ensure timely updates on the Impairment loss model documentation, policies and procedures.

Ensure timely updates to models and parameters in response to changing market conditions or portfolio behavior.

Support internal and external audit, regulatory reviews, and governance committees with documentation and explanations.

Job Requirement

Bachelor’s or Master’s degree in Quantitative Finance, Statistics, Economics, Mathematics, Data Science, or related field.

Minimum 5 years of experience in credit risk modelling, ECL/IFRS 9 model development or validation.

Strong proficiency in programming and data analysis (Python, R, SAS, or SQL).

Sound understanding of Basel/IFRS 9 regulatory frameworks and model lifecycle governance.

Experience with retail and/or corporate portfolios is preferred.

Strong analytical skills, attention to detail, and ability to interpret complex data.

Effective communication skills to present findings to technical and non-technical stakeholders.