Credit Risk Modeler — MFRS9 & Basel IRB Expert

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

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.