Senior Credit Risk Model Analyst — MFRS9 & IRB Expert

AmBank Group; Kuala Lumpur; On-site; MYR 120,000 - 160,000; Full time

Job summary

AmBank Group in Kuala Lumpur seeks a qualified professional to develop and manage wholesale credit risk models. You will work under guidance of Team Lead and ensure models meet governance and regulatory standards (MFRS 9, Basel II/III IRB).

Collaboration with vendors and auditors is essential as is ongoing model monitoring and enhancement. The role emphasizes proactive issue resolution, automation of reporting, and timely communication of progress to leadership while maintaining strong data

Qualifications

• Bachelor's Degree in a quantitative field.
• 3–5 years of experience in credit risk model development and/or model management.
• Strong understanding of MFRS 9 and Basel II/III IRB regulatory requirements.
• Proficiency in Credit Risk Modelling, Model Monitoring & Analytical Skills, MFRS 9, Basel II/III IRB, SAS/SQL.

Responsibilities

• Develop and implement wholesale credit risk models per approved specifications.
• Collaborate with Team Lead/Unit Head during development and enhancements.
• Ensure models meet internal governance standards and regulatory requirements (BNM Basel II/III IRB, MFRS 9).
• Collaborate with vendors and external consultants on joint model development initiatives.
• Address findings raised by validators, regulators, and auditors.
• Monitor model performance using the approved monitoring framework.
• Identify performance deterioration and propose corrective actions.
• Discuss monitoring results with Team Lead/Unit Head.
• Recalibrate or enhance models and rollout successfully.
• Support Model Implementation in the MEP PCCM system.
• Address production issues related to model inputs, outputs, data quality, and system logic.
• Resolve system configuration and data-related issues, including scripting, UAT, and automation.
• Produce timely model monitoring and risk reports with insights.
• Automate report generation to improve efficiency and turnaround time.
• Prepare materials for quarterly working group and committee presentations.
• Provide regular updates to Team Lead/Unit Head on progress and actions.
• Ensure compliance with internal policies, regulatory standards, and model risk governance frameworks.
• Resolve all issues and audit control requirements within timelines.
• Maintain at least C rating for MPR and good BNM CRR ratings.
• Participate in on-the-job training and knowledge sharing.

Skills

Credit Risk Modelling

Model Monitoring

Analytical Skills

MFRS 9 knowledge

Basel II/III IRB Knowledge

SAS / SQL Programming

Education

Bachelor's Degree in Actuarial Science, Statistics, Mathematics

Tools

SAS

SQL

Job description

AmBank Group in Kuala Lumpur seeks a qualified professional to develop and manage wholesale credit risk models. You will work under guidance of Team Lead and ensure models meet governance and regulatory standards (MFRS 9, Basel II/III IRB).

Collaboration with vendors and auditors is essential as is ongoing model monitoring and enhancement. The role emphasizes proactive issue resolution, automation of reporting, and timely communication of progress to leadership while maintaining strong data