In accordance with regulatory requirements, carry out qualitative and quantitative validation of models (including frameworks) related to credit risk, counterparty credit risk, etc.
by assessing model logic, assumptions and technical approaches, evaluating model implementation and performance
Manage validation process including planning, executing project activities, monitoring milestones, controlling quality of deliverables, liaising with different internal or external parties, and defending fact-based validation results
Conduct research to experiment with different analytic ideas using varying technical approaches; track regulatory direction by frequently sorting through the latest regulatory documentation and closely follow best industry practice
Prepare reports and communicate to the management, internal and external auditors, the board, regulators and other related stakeholders
Establish and review policies and procedural guidelines regularly
Degree or above with major in Management Science (or Operations Research), Statistics, Finance, Computer Science, Economics, Engineering or equivalent analytic disciplines.
An additional MBA is an advantage
At least a 2-year proven tracking record of effectively performing model-related activities such as development, implementation, application or validation of varying credit risk models in financial institutions, consultancy or regulatory bodies.
A manager or senior manager role would be considered, if more experience is involved
Proficiency in technical tools such as SAS, VBA or Python. Sophisticated understanding of regulatory requirements in areas such as IRB, stress testing, IFRS9
Sophisticated analytic capacity and business thinking
Self-motivated, willing to learn, detail-minded and with passion for analytic excellence
A team player with effective communication and interpersonal skills is a mandate
Excellent in both written and spoken English and Chinese