Senior ECL Modelling Lead – Retail & MSME Credit Risk

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

Job summary

GX Bank Berhad is seeking an experienced credit risk modeller to lead MFRS 9 ECL modelling for Retail and MSME portfolios. You will develop PD, LGD and EAD models, build scorecards, and implement robust pipelines in Python and SQL.

Your role includes model calibration, back-testing, governance, and communications with senior stakeholders across Credit Risk, Finance and Business units.

Qualifications

• At least eight years of relevant experience in credit risk modelling within banking or financial services.
• Strong hands-on experience with MFRS 9/IFRS 9 ECL models for PD, LGD and EAD.
• Deep understanding of ECL concepts, staging, lifetime losses and forward-looking scenarios.
• Experience developing and monitoring credit risk scorecards for Retail/MSME portfolios.
• Advanced Python for statistical modelling and data analysis with pandas/NumPy/scikit-learn.
• Strong SQL skills with large, longitudinal credit datasets and governance awareness.
• Experience managing the full model lifecycle and communicating results to stakeholders.

Responsibilities

• Lead end-to-end development, implementation and enhancement of MFRS 9 ECL models across portfolios.
• Develop 12-month and lifetime PD models with term structures and macroeconomic calibration.
• Develop LGD models covering recovery, cure, workout periods and collateral considerations.
• Create EAD and credit conversion factor models for term loans and revolvers.
• Design methodologies for segmentation, staging, and multiple economic scenarios.
• Develop application, behavioural, and collection scorecards using statistical methods and ML where appropriate.
• Perform calibration, back-testing, benchmarking, and stress testing with robust documentation.

Skills

Python modelling

SQL

ECL modelling

PD/LGD/EAD modelling

Model governance

Stakeholder communication

Mentorship

Education

Bachelor's or Master's in a quantitative field

Tools

Git

CI/CD

AWS

Job description

GX Bank Berhad is seeking an experienced credit risk modeller to lead MFRS 9 ECL modelling for Retail and MSME portfolios. You will develop PD, LGD and EAD models, build scorecards, and implement robust pipelines in Python and SQL.

Your role includes model calibration, back-testing, governance, and communications with senior stakeholders across Credit Risk, Finance and Business units.