Graduate Trainee - Credit Risk Modeller

Hong Leong Bank; Petaling Jaya; On-site; MYR 60,000 - 90,000; Full time

Job summary

A leading financial institution in Petaling Jaya is seeking a Credit Risk Modeller responsible for managing Expected Credit Loss models for Personal Financial Services. The role requires preparing ECL model results, ensuring compliance with MFRS 9 policy, and coordinating data across departments. Candidates should have a Bachelor's or Master's in a relevant field and strong proficiency in statistical programming languages such as R, SAS, and SQL. This position offers an opportunity to enhance predictive risk models within a reputable institution.

Qualifications

• Bachelor's or Master's degree in a relevant field is required.
• Strong proficiency in statistical programming languages (R, SAS, SQL) is essential.

Responsibilities

• Prepare and finalize ECL model results ensuring accuracy.
• Prepare quarterly model monitoring decks for management.
• Perform model enhancement and recalibration to maintain compliance.
• Assist in MFRS 9 ECL and model automation projects.
• Coordinate with departments to gather data for models.

Skills

Proficiency in R

Proficiency in SAS

Proficiency in SQL

Advanced skills in Microsoft Excel

Education

Bachelor's or Master's degree in Applied Math, Actuarial Science, Applied Statistics, Statistics or related field

Job description

The Credit Risk Modeller is responsible for the end-to-end management, governance, and enhancement of Expected Credit Loss (ECL) models specifically for Personal Financial Services (PFS) credit portfolios. This role acts as a subject matter expert, ensuring the predictive accuracy, robustness, and regulatory compliance of all core credit risk models, including Probability of Default (PD) and Loss Given Default (LGD). This role will report to the Head of Credit Analytics & Data Science, Personal Financial Services Credit.

Responsibilities:

• Prepare and finalize Expected Credit Loss (ECL) model results, including Probability of Default (PD) and Loss Given Default (LGD).
• Prepare the quarterly model monitoring deck (KS GINI, PSI, MAD, R2, MAPE) for senior management with high accuracy.
• Perform model enhancement and recalibration from time to time to ensure models remain predictive, robust, and compliant.
• Assist in MFRS 9 ECL and Model automation projects.
• Coordinate with various departments, including Collections, to gather data (e.g., recovery and cost for impaired accounts).

Compliance & Model Maintenance

• Ensure strict compliance with MFRS 9 policy at all times and stay updated on the latest changes to model instruments and regulations.
• Prepare documentation for management approval on model enhancements and recalibration exercises.
• Liaise with external auditors and Group Risk for model audits and recommendations.

Skills & Experience We Are Looking For:

• Bachelor's or Master's degree in Applied Math, Actuarial Science, Applied Statistics, Statistics, or a related field.
• Strong proficiency in relevant statistical/programming languages (e.g., R, SAS, SQL) and advanced skills in Microsoft Excel.

We appreciate your application and will be in touch with shortlisted candidates regarding next steps.