Risk Modeling & Data Science Specialist

RHB Banking Group; Kuala Lumpur; On-site; MYR 70,000 - 90,000; Full time

Job summary

A leading banking institution in Kuala Lumpur is seeking an individual to support the Head of Retail Risk Modeling, focusing on developing and maintaining credit risk models adhering to Basel and MFRS standards. Responsibilities include preparing model documentation, conducting User Acceptance Tests, and generating performance reports to aid in decision-making. This role is ideal for candidates with experience in risk analytics and a collaborative mindset.

Responsibilities

• Support Head, Retail Risk Modeling with risk modeling activities.
• Develop and maintain credit risk models as per Basel and MFRS.
• Create ALM behavioral model for interest rate risk application.
• Develop early warning model for customer arrears prediction.
• Prepare model development documentation for regulatory approval.
• Conduct User Acceptance Testing for model implementation.
• Generate model performance monitoring reports for management.
• Gather business insights through collaboration.

Job description

Responsibilities

• Support Head, Retail Risk Modeling in relation to the respective area’s risk modeling activities.
• Assist to develop and maintain industry leading credit risk models in accordance to Basel and MFRS requirements.
• Assist to develop Asset Liability Management (ALM) behavioral model to identify the behavior of deposits and loans for application in Interest Rate Risk in the Banking Book (IRRBB)/Rate of Return Risk in the Banking Book (RORBB) and Net Stable Funding Ratio (NSFR).
• Assist to develop early warning model which predicts the likelihood of a customer moving from performing to arrears, collaborate with business in developing a customer strategy for ‘at-risk’ customers.
• Assist in preparing clear and thorough model development documentation for regulatory submission and approval.
• Prepare test script, test cases and perform User Acceptance Test to ensure model is implemented as per expected.
• 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.
• Socialize with business expert to gather business insights in respective area of data analytics.