Senior ECL Modeller | MFRS9 Credit Risk & Analytics

GXBank; Selangor; Hybrid; MYR 180,000 - 300,000; Full time

Job summary

GX Bank Berhad, Malaysia's digital bank, seeks an experienced credit risk modeller to lead MFRS 9 ECL modelling for Retail and MSME portfolios. You will build PD, LGD and EAD models and credit risk scorecards, using Python and SQL to deliver transparent, scalable models aligned with governance.

The role emphasizes end-to-end model development, calibration, back-testing, and regulatory readiness, with collaboration across Risk, Finance, and Tech teams.

Qualifications

• At least eight years of relevant experience in credit risk modelling, quantitative risk, data science or advanced credit analytics.
• Strong hands-on experience with MFRS 9/IFRS 9 ECL models (PD, LGD, EAD).
• Deep understanding of 12-month and lifetime expected losses, staging and macroeconomic scenarios.
• Experience building risk scorecards for Retail or MSME portfolios.
• Proficiency in Python for statistical modelling and data analysis (pandas, NumPy, scikit-learn).
• Strong SQL skills and experience with large, longitudinal datasets.
• Ability to communicate complex methodologies to senior stakeholders.
• Experience managing the full model lifecycle and governance.

Responsibilities

• Lead end-to-end development and enhancement of MFRS 9 ECL models for Retail and MSME portfolios.
• Develop 12-month and lifetime PD models with term structures and macroeconomic integration.
• Create LGD, EAD models, and credit conversion factors for various credit facilities.
• Design portfolio segmentation, default definitions, and staging methodologies.
• Build and validate application, behavioural and collection scorecards.
• Document models and support governance, validation and regulatory reviews.
• Collaborate with Credit Risk, Finance and Business teams to explain movements.

Skills

Python

SQL

ECL modelling

PD modeling

LGD modelling

EAD modelling

Credit risk scoring

Model governance

Data pipelines

Communication to stakeholders

Education

Bachelor’s or Master’s degree in a quantitative discipline

Tools

Git

CI/CD

AWS (optional)

Job description

GX Bank Berhad, Malaysia's digital bank, seeks an experienced credit risk modeller to lead MFRS 9 ECL modelling for Retail and MSME portfolios. You will build PD, LGD and EAD models and credit risk scorecards, using Python and SQL to deliver transparent, scalable models aligned with governance.

The role emphasizes end-to-end model development, calibration, back-testing, and regulatory readiness, with collaboration across Risk, Finance, and Tech teams.