Senior Specialist, Independent Model Validation

GXBank; Selangor; On-site; MYR 180,000 - 240,000; Full time

Job summary

GX Bank Berhad in Malaysia seeks an experienced quantitative modeller to own end-to-end model validation for new and existing credit models. You will assess model assumptions, perform data validation, and ensure regulatory compliance.

Responsibilities include conducting qualitative and quantitative reviews, stress testing, and thorough documentation, collaborating with the data science team, model developers, and external vendors to uphold the bank's risk management standards.

Qualifications

• 5+ years in quantitative modelling, numerical simulation and data analysis.
• Experience with credit modelling or data science techniques (AI/ML).
• Strong programming skills in Python/SQL (or R).
• Familiarity with DevOps, MLOps, cloud would be an advantage.

Responsibilities

• Manage end-to-end model validation for new and existing models.
• Conduct qualitative and quantitative review, stress testing, and documentation.
• Coordinate with Model Developer, Data Science team and vendors.
• Align practices with MAS/MRM frameworks and regulatory guidelines.

Skills

Python/SQL/R

Data modelling

Statistical analysis

Team collaboration

Education

Advanced degree in statistics/data science/quant finance

Tools

ETL

Model validation tools

Job description

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.

Licensed and regulated by Bank Negara Malaysia (BNM)

As the first of the five digital bank licence applicants to receive the approval to commence operations from the BNM, we have an opportunity to build a bank that changes the game.

Licensed and regulated by Bank Negara Malaysia (BNM)

As the first of the five digital bank licence applicants to receive the approval to commence operations from the BNM, we have an opportunity to build a bank that changes the game.

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