Model Validation Manager (Banking)

A reputable China-based Bank with its Group Company listed in Hong Kong is looking for a high-calibre Credit Risk Manager in developing credit risk rating models & systems in Risk Management Department.

Responsibilities:

• Evaluate the performance, appropriateness, applicability and suitability of credit risk PD/LGD/EAD models, or relevant models (e.g. stress testing, economic capital, IFRS 9 impairment modeling) across retail, corporate, financial institution and sovereign exposures in compliance with regulatory requirements and best practices

• Execute qualitative validation, including assessment of model development methodology, assumptions, empirical judgments, potential limitations, implementation and use-test etc.

• Execute quantitative validation, including preparing validation datasets, identifying data quality issues, performing statistical tests from different performance dimensions

• Manage validation process including planning and executing of project activities, coordinating and communicating with different parties

• Prepare validation reports, document findings and make recommendations of enhancing model framework to senior management or related stakeholders

• Review policies and procedural guidelines regularly

Requirements:

• Master or Bachelor Degree holder in Risk Management, Statistics/ Applied Mathematics, Quantitative Finance or related disciplines preferably with professional qualification in ACCA/ CPA/ CFA/ FRM / PRM;

• In-depth knowledge in Basel requirements, IFRS 9 and banking practices in credit risk models validation is essential;

• At least 4 years banking experience in the validation of credit risk models and hands-on experience is preferred;

• Sound knowledge in statistical and quantitative analysis and familiar with SAS, Excel VBA, SQL and MS office;

• Analytical, independent, possession of good communication and interpersonal skills;

• Proficient in both spoken and written English and Chinese, fluent in Putonghua are preferable.

Interested parties please send your resume in word format with current & expected salary and notice period to san@hkjobc.com.  For details, please feel free to contact San at 9367 1012.