Credit Modeller, Risk Model Analytics

AmBank Group; Kuala Lumpur; On-site; MYR 120,000 - 220,000; Full time

Job summary

AmBank Group in Malaysia seeks a mid‑level professional to develop wholesale credit risk models and manage their lifecycle, ensuring alignment with MFRS 9 and Basel II/III IRB standards. The role involves collaborating with the Team Lead, external consultants, and internal validators to meet governance requirements.

You will monitor model performance, address findings, and support deployment in the MEP PCCM system, delivering timely risk insights and automated reports.

Qualifications

• Bachelor's degree in actuarial science, statistics, mathematics or a related quantitative discipline.

Responsibilities

• Develop and implement wholesale credit risk models per approved specs.
• Collaborate with Team Lead during development and enhancement activities.
• Ensure models meet internal governance and regulatory requirements (MFRS 9, Basel II/III IRB).
• Coordinate with vendors and external consultants on model development.
• Address findings from validators, regulators and auditors.
• Monitor model performance using the established framework.
• Identify performance gaps and propose corrective action plans.
• Recalibrate or enhance models and ensure successful rollout.
• Support deployment and maintenance in the MEP PCCM system.
• Produce timely risk reports with analysis; automate report generation.

Skills

Credit Risk Modelling

Model Monitoring

Analytical Skills

MFRS 9 Knowledge

Basel II/III IRB Knowledge

SAS

SQL

Education

Bachelor's Degree in Actuarial Science, Statistics, Mathematics, or related

Tools

SAS

SQL

Job description

Job responsibilities:

• Develop and implement wholesale credit risk models in accordance with approved model specifications.
• Work with guidance from Team Lead / Unit Head during model development and enhancement activities.
• Ensure models meet internal model risk governance standards and regulatory requirements (BNM Basel II/III IRB, MFRS 9).
• Collaborate with vendors and external consultants on joint model development initiatives.
• Address findings raised by independent model validators, regulators (BNM), and internal/external auditors.
• Monitor model performance using the agreed monitoring framework on a timely basis.
• Identify performance deterioration, gaps, or issues and propose corrective action plans.
• Discuss monitoring results and recommendations with Team Lead / Unit Head.
• Recalibrate or enhance models as required and ensure successful rollout.
• Support the Model Implementation team in deploying and maintaining models in the MEP PCCM system.
• Address production issues related to model inputs, outputs, data quality, and system logic.
• Resolve system configuration and data-related issues, including scripting, UAT support, and automation.
• Produce accurate and timely model monitoring and risk reports with sound analytical insights.
• Automate report generation to improve efficiency and turnaround time.
• Prepare materials for quarterly working group and committee presentations.
• Provide regular updates to Team Lead / Unit Head on progress, issues, and action plans.
• Ensure compliance with internal policies, regulatory standards, and model risk governance frameworks.
• Resolve all issues and audit control requirements (ACRs) within agreed timelines.
• Maintain at least C rating for Model Performance Review (MPR) and ensure good BNM CRR ratings.
• Participate in on-the-job training and continuous learning initiatives.
• Contribute to cross-functional knowledge sharing on modeling frameworks, methodologies, and system configurations.
• Maintain positive working relationships with peers, stakeholders, and related units.

Job Requirements:

• Bachelor's Degree in Actuarial Science, Statistics, Mathematics, or a related quantitative discipline
• At least 3–5 years of experience in credit risk model development and/or model management with hands-on experience with credit risk modeling methodologies and systems.
• Strong understanding of MFRS 9 and Basel II/III IRB regulatory requirements.
• Adept in following skillsets: Credit Risk Modelling, Model Monitoring & Analytical Skills, Knowledge of MFRS 9, Basel II / Basel III IRB Knowledge, SAS / SQL Programming (core)