Senior ECL Modelling Lead | PD, LGD, EAD & ML

GXBank; Petaling Jaya; On-site; MYR 180,000 - 260,000; Full time

Job summary

GX Bank Berhad, Malaysia's digital banking pioneer, seeks an experienced Credit Risk Modeller to lead MFRS 9 ECL development for Retail and MSME portfolios. You will build PD, LGD and EAD models, develop risk scorecards, and implement scalable Python/SQL solutions across the bank.

You will collaborate with Credit Risk, Finance and IT teams, ensure robust governance, and mentor other modellers while advancing regulatory-compliant analytics in a digital banking environment.

Qualifications

• Eight years of experience in credit risk modelling or similar analytics within banking/finance.
• Hands-on experience with MFRS 9/IFRS 9 ECL modelling (PD, LGD, EAD).
• Experience developing and monitoring risk scorecards (Retail/MSME).
• Strong Python for modelling and data analysis (pandas, NumPy, scikit-learn).
• Knowledge of model risk governance, validation standards and regulatory expectations.

Responsibilities

• Lead end-to-end development of MFRS 9 ECL models for Retail and MSME portfolios.
• Develop 12-month and lifetime PD models with macroeconomic forward-looking information.
• Build LGD and EAD models, including recovery patterns and collateral considerations.
• Create and monitor credit risk scorecards and model pipelines for production deployment.
• Document models and support independent validation, audits and governance reviews.

Skills

Python

SQL

Statistical Modelling

Model Governance

Stakeholder Communication

Mentorship

Education

Bachelor's or Master's in Quantitative Field

Tools

Git

CI/CD

AWS

Pandas

NumPy

scikit-learn

statsmodels

Job description

GX Bank Berhad, Malaysia's digital banking pioneer, seeks an experienced Credit Risk Modeller to lead MFRS 9 ECL development for Retail and MSME portfolios. You will build PD, LGD and EAD models, develop risk scorecards, and implement scalable Python/SQL solutions across the bank.

You will collaborate with Credit Risk, Finance and IT teams, ensure robust governance, and mentor other modellers while advancing regulatory-compliant analytics in a digital banking environment.