Risk Modelling & Data Scientist Specialist

RHB Bank Berhad; Malaysia; On-site; MYR 70,000 - 100,000; Full time

Job summary

RHB Bank Berhad invites applications for a role supporting development and monitoring of credit risk models, including ALM behavioral models and early warning systems, in line with Basel and MFRS requirements. You will assist regulatory submissions and performance monitoring while coordinating with stakeholders to gather business insights.

The position emphasizes analytical rigor, data modeling skills, and collaboration across risk and business teams to enable informed decision making and

Qualifications

• Bachelor Degree in Statistics, Mathematics, Actuarial Science, Economics, Finance, Financial Mathematics or Data Science.
• CFA or FRM certification with 1–2 years of experience or fresh graduates with relevant qualifications.
• Good understanding of the respective area’s business products and operations.
• Strong analytical and statistical modeling capabilities.
• Knowledge of relational databases and data models.

Responsibilities

• Support Head, Retail Risk Modeling in relation to the area’s risk modeling activities.
• Assist to develop and maintain credit risk models in line with Basel and MFRS requirements.
• Assist to develop ALM behavioral models for deposits and loans used in IRRBB/RORBB.
• Assist to develop early warning model predicting customer moves from performing to arrears.
• Prepare model development documentation for regulatory submission and model performance monitoring reports.
• Collaborate with stakeholders to gather business insights and ensure correct model implementation.

Skills

Analytical skills

Statistical modeling

Data analytics

Education

Bachelor degree in Statistics/Mathematics/Actuarial Science/Economics/Finance/Data Science

Job description

Primary Objective

Support development and the monitoring of the industry leading regulatory compliant credit risk models, also internal models for early warning as well as behavioral models for Asset Liability Management (ALM) for effective risk management and decision making in the Bank on the designated subject area.

Key Responsibilities

Support Head, Retail Risk Modeling in relation to the respective area’s risk modeling activities.

Technical Expertise

• 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).
• Assist to develop early warning model which predicts the likelihood of a customer moving from performing to arrears.
• Assist in preparing clear and thorough model development documentation for regulatory submission and approval.
• Assist in preparing 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.
• Prepare test script, test cases and perform User Acceptance Test to ensure model is implemented as per expected.
• Socialize with stakeholder including internal and business expert to gather business insight in the respective area of model development and data analytics as well as to ensure the model is implemented as per expected.

Requirements

• Bachelor Degree - Statistics, Mathematics, Actuarial Science, Economics, Finance, Financial Mathematics, Data Science.
• CFA, FRM Minimum 1-2 years experiences or fresh graduate in good relevant qualifications.
• Good understanding on the respective area’s business products and operations.
• Good analytical skills.
• Good statistical modeling knowledge.
• Good understanding of relational databases and data models.

A mantra for our clients, customers, partners and every member of the RHB family. Yes, you. Our employees are one of the reasons we are here today. Dynamic, forward-thinking and progressive, there is a reason why we are an award-winning financial institution. Join us today and be a part of a winning family. At RHB, we take pride in our people and our teams. Great relationships built on trust, a 'leading it right' environment, challenging assignments and a culture of excellence are the pillars to the dynamic and diversified workplace we call home. As we grow towards realising our aspirations, we promise a workplace built on the five pillars – RHB Cares; RHB Leads; RHB Inspires; RHB Progresses; and RHB Rewards.