Credit Risk Modeling Manager

2201 United Overseas Bank (Malaysia) Bhd; Kuala Lumpur; On-site; MYR 120,000 - 180,000; Full time

Job summary

2201 United Overseas Bank (Malaysia) Bhd is seeking a credit risk modeller to lead the annual review of credit rating models for the WB portfolio and ensure timely completion aligned with Basel and MFRS standards.

The role involves handling large datasets, collaborating with business experts to extract insights, and documenting model development for regulatory submissions and management review.

Qualifications

• Degree in Statistics, Actuarial Science or Economics.
• Minimum 3-4 years relevant experiences.
• Experience in SAS, Python programming or Machine Learning modelling is preferable.
• Good knowledge of relevant regulatory requirements on risk models and risk parameters.
• Good understanding of Bank’s product and overall credit underwriting process and risk involved.
• Good statistics and mathematics background.
• Able to interpret statistical / mathematical test well and provide recommendation.
• Good programming skills in data handling and statistical modeling knowledge.
• Good understanding of relational databases and data models.
• Good project management skill.

Responsibilities

• Prepare credit rating model annual review and be responsible for the credit process of the WB portfolio and ensure that the credit model annual reviews are completed on time.
• Able to work with huge datasets to develop and maintain industry leading credit risk rating models in accordance with Basel and MFRS requirements.
• Socialize with business expert to gather business insight in the respective area of model development and data analytics.
• Presents and discusses analysis, model approach, model results and its thought/rational within working group.
• Prepare user requirements, review functional specifications and perform User Acceptance Test to ensure models requirements is captured as per expected in the Credit Master system.
• Prepare clear and thorough model development/ enhancement documentation for senior management/ regulatory submission and approval.
• Prepare model performance monitoring report for timely reporting to the management committee, the monitoring report served to provide insights to ensure correct use of model and enable critical decision making related to model recalibration or refinement.
• Review and on-going improvement to model performance monitoring process and automation.

Skills

Statistics

Mathematics

Data handling

Relational databases

Modeling knowledge

Project management

Analytical thinking

Education

Degree in Statistics, Actuarial Science or Economics

Tools

SAS

Python

Machine Learning

SQL

Job description

2201 United Overseas Bank (Malaysia) Bhd is seeking a credit risk modeller to lead the annual review of credit rating models for the WB portfolio and ensure timely completion aligned with Basel and MFRS standards.

The role involves handling large datasets, collaborating with business experts to extract insights, and documenting model development for regulatory submissions and management review.