Senior ECL Modeller — MFRS9 & Credit Risk Analytics

GXBank; Petaling Jaya; On-site; MYR 300,000 - 540,000; Full time

Job summary

GX Bank Berhad, Malaysia's first digital bank, seeks an experienced credit risk modeller to lead ECL modelling for Retail and MSME portfolios. You will develop PD, LGD, and EAD models using Python and SQL, ensure governance, and translate methods into robust, scalable implementations.

You will collaborate with Credit Risk, Finance, and Data teams to monitor model performance, back-test, and implement improvements in a digital banking environment.

Qualifications

• 8+ years of experience in credit risk modelling within banking, financial services or consulting.
• Hands-on experience developing MFRS 9/IFRS 9 ECL models.
• Proficiency in PD, LGD and EAD modelling.
• Strong understanding of model risk governance and regulatory expectations.
• Proficient in Python and SQL for modelling and data analysis.

Responsibilities

• Lead end-to-end development and enhancement of MFRS 9 ECL models across Retail and MSME portfolios.
• Develop 12‑month and lifetime PD models with macroeconomic forward-looking information.
• Develop LGD models covering recovery, cure, costs, collateral and discounting.
• Build EAD and credit conversion factor models for term loans and revolvers.
• Document methodologies and support validation, governance, and regulatory reviews.

Skills

Python

SQL

pandas

NumPy

scikit-learn

statsmodels

logistic regression

survival analysis

time-series

macro modelling

Education

Bachelor’s or Master’s degree in quantitative discipline

Tools

Git

CI/CD

AWS

Job description

GX Bank Berhad, Malaysia's first digital bank, seeks an experienced credit risk modeller to lead ECL modelling for Retail and MSME portfolios. You will develop PD, LGD, and EAD models using Python and SQL, ensure governance, and translate methods into robust, scalable implementations.

You will collaborate with Credit Risk, Finance, and Data teams to monitor model performance, back-test, and implement improvements in a digital banking environment.