Senior ECL Modeller — MFRS9, PD/LGD/EAD (Python & SQL)

GXS; Petaling Jaya; On-site; MYR 180,000 - 300,000; Full time

Job summary

GX Bank Berhad, the Grab-led Digital Bank in Malaysia, seeks an experienced credit risk modeller to lead ECL modelling across Retail and MSME portfolios. You will specialize in MFRS 9 ECL modelling including PD, LGD and EAD, while also delivering risk scorecards and portfolio analytics using Python and SQL.

The role requires deep modelling expertise, strong governance experience and the ability to communicate complex results to senior stakeholders.

Qualifications

• 8+ years in credit risk modelling or related field
• Strong hands-on MFRS 9/IFRS 9 modelling experience
• Experience with PD/LGD/EAD modelling and macroeconomic scenarios
• Experience building scorecards for Retail/MSME portfolios
• Proficiency in Python (pandas, NumPy, scikit-learn) and SQL
• Experience lifecycle management of models including validation and governance

Responsibilities

• Lead end-to-end development of MFRS 9 ECL models for Retail and MSME
• Develop 12-month and lifetime PD models with forward-looking information
• Develop LGD and EAD models for term loans and revolvers
• Build application, behavioural and collection scorecards
• Perform calibration, back-testing, stress testing and monitoring
• Document models and support audits and regulatory reviews
• Collaborate with Credit Risk, Finance and Tech teams
• Mentor junior modellers and analysts

Skills

Python for modelling

SQL

MFRS 9/IFRS 9 ECL modelling

PD modelling

LGD modelling

EAD modelling

Model governance

Stakeholder communication

Education

Bachelor’s or Master’s in quantitative field

Tools

Git

Job description

GX Bank Berhad, the Grab-led Digital Bank in Malaysia, seeks an experienced credit risk modeller to lead ECL modelling across Retail and MSME portfolios. You will specialize in MFRS 9 ECL modelling including PD, LGD and EAD, while also delivering risk scorecards and portfolio analytics using Python and SQL.

The role requires deep modelling expertise, strong governance experience and the ability to communicate complex results to senior stakeholders.