Senior ECL Modelling Lead: PD, LGD & EAD

GXBank; Selangor; On-site; MYR 180,000 - 300,000; Full time

Job summary

GX Bank Berhad, the Grab-led digital bank in Malaysia, is seeking an experienced credit risk modeller to lead the development and enhancement of ECL models for Retail and MSME portfolios. You will work hands-on with MFRS 9 ECL modelling (PD, LGD, EAD), develop scorecards, portfolio analytics and model implementation using Python and SQL in a digital banking environment.

The role emphasizes governance, documentation and collaboration with Data Engineering, Finance and Business teams to explain

Qualifications

• Eight+ years in credit risk modelling or related quantitative roles.
• Hands-on MFRS 9/IFRS 9 ECL modelling with PD, LGD and EAD.
• Deep understanding of ECL concepts, staging and forward-looking scenarios.
• Experience building and monitoring scorecards for Retail/MSME lending.
• Strong Python for modelling and data analysis; SQL proficiency.
• Lifecycle ownership from data prep to 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; calibrate and back-test.
• Create LGD models including recovery patterns and collateral effects.
• Build EAD and credit conversion models for term loans and revolvers.
• Design methodologies for staging and macroeconomic scenarios.
• Develop application and collection scorecards; apply ML where appropriate.
• Document methodologies; support validation, audits and governance.
• Collaborate with Credit Risk, Finance and IT to communicate impacts.

Skills

Credit risk modelling

PD modelling

ECL modelling

Statistical modelling

Model governance

Communication to stakeholders

Machine-learning basics

Education

Quantitative degree

Tools

Python

SQL

Git

Pandas/NumPy/Scikit-learn

Statsmodels

AWS (nice-to-have)

Job description

GX Bank Berhad, the Grab-led digital bank in Malaysia, is seeking an experienced credit risk modeller to lead the development and enhancement of ECL models for Retail and MSME portfolios. You will work hands-on with MFRS 9 ECL modelling (PD, LGD, EAD), develop scorecards, portfolio analytics and model implementation using Python and SQL in a digital banking environment.

The role emphasizes governance, documentation and collaboration with Data Engineering, Finance and Business teams to explain