Senior Specialist, Independent Model Validation

GXBank; Petaling Jaya; On-site; MYR 120,000 - 200,000; Full time

Job summary

GX Bank Berhad is seeking an experienced quantitative modeller to lead model validation initiatives in Malaysia. You will perform qualitative and quantitative reviews, stress testing, and documentation validation to ensure models meet risk standards.

The role requires collaboration with data science, model developers, and external partners to implement robust risk controls and regulatory-compliant processes. Strong coding and 5+ years in the field are expected.

Qualifications

• Experience in quantitative modelling and data analysis.
• Proficiency in credit modelling or data science techniques.
• Strong coding skills in Python/SQL/R.
• Minimum 5 years in quantitative modelling.
• Ability to work in a fast-paced environment.
• Familiarity with model risk management and regulatory guidelines.

Responsibilities

• Manage and complete end-to-end model validation for new/existing models.
• Conduct qualitative review of model assumptions and algorithms.
• Perform quantitative data validation and statistical tests.
• Review model documentation and perform stress testing.
• Ensure fit-for-use under Bank's Model Risk Management framework.
• Collaborate with Model Developer, Data Science team and vendors on risk.
• Propose risk mitigation improvements and updates to guidelines.
• Align with group-wide frameworks, processes and reporting.

Skills

Data analysis

ETL

Data science techniques

Problem solving

Team collaboration

Quantitative modelling

Education

Advanced degree in quantitative discipline

CFA/FRM/BRM/Chartered Banker (advantage)

Tools

Python

SQL

R

Job description

Get To Know Our Company

GX Bank Berhad - the Grab-led Digital Bank - is the FIRST digital bank in Malaysia, approved by BNM to commence operations. We aim to leverage technology and innovation to serve the financial needs of the unserved and underserved individuals, and micro and small medium enterprises.

Get To Know Our Company

GX Bank Berhad - the Grab-led Digital Bank - is the FIRST digital bank in Malaysia, approved by BNM to commence operations. We aim to leverage technology and innovation to serve the financial needs of the unserved and underserved individuals, and micro and small medium enterprises. We are driven by our shared purpose and passion to bring positive transformation to the banking industry, starting with solutions that address the financial struggles of Malaysians and businesses.

Get To Know The Role

• Manage and complete the model validation from end to end for new/ existing models in the bank, which covers:
  • Qualitative review: underlying model assumptions and algorithms, i.e. supervised learning and unsupervised learning models, use of model & its interpretation;
  • Quantitative review: hands‑on in data validation/ assessment and perform statistical test;
  • Review model documentation;
  • Perform model stress testing;
  • Ensuring the model is fit for use as per the Bank’s Model Risk Management framework;
  • Collaborate with various stakeholders, e.g. Model Developer, Model Owner, Data Science team, model vendor etc, for model risk identification and assessment;
  • Propose model risk mitigation solution and recommend improvements;
  • Improve Model Risk Management framework to embed industry best practice; and
  • Ensure the model validation standard meets regulatory guidelines/ requirements.
• Work effectively as a team member with other quantitative analysts in the Bank, as well as with external consultants.
• Validate IFRS9/ Basel models not limited to PD, LGD, EAD etc.
• Work with GXS Singapore counterparts to perform model FEAT assessment in accordance with MAS guideline.
• Synchronise with group‑wide frameworks, processes (including modelling), tools and reporting which support the desired outcomes for risk modelling and capital optimization.

The Must Haves

• Passionate in Data which includes ETL, analyse, and interpret data patterns within a complex data environment.
• Well versed in credit modelling and/ or data science techniques (AI/ ML models) which includes hands‑on model development and implementation.
• Highly proficient in coding (Python/ SQL or R etc); familiar with modern and emerging technology techniques and an interest to stay abreast of industry developments (e.g. DevOps, MLOps, Cloud, APIs, service-oriented architectures etc).
• At least 5 years of work experience in quantitative modelling, numerical simulation, and data analysis.
• Team orientation and ability to work in a fast paced environment.
• Strong quantitative problem solving skills. Advanced degree in a quantitative discipline such as statistics, data science, maths, physics, engineering, computer science, or financial engineering.
• CFA / FRM / BRM / Chartered Banker would be added advantage.