Manager, Credit Capital Quantification

1 month ago


Malaysia CIMB Group Full time

This role resides in the second line of defence. The role is responsible for identifying, evaluates measures, mitigates, and recommends non-retail credit risk credit proposals within the Board-approved Risk Posture and Risk Appetite. He/she oversees monitoring the non-retail credit risk of the assigned portfolios through effectively leveraging of various policies, procedures, frameworks, methodologies, as well as governance and reporting (“Tools”).

Job Responsibilities

Internal Business Process 

  • Support monthly, quarterly Capital Adequacy Ratios reporting and half yearly Pillar III reporting requirement and timeline.
  • Support Pillar II submission and requirement and timeline by quantifying and analyzing the regulatory capital for credit.
  • Monitor IRB Coverage Ratio threshold and provide inputs on credit portfolios that could be migrated to IRB.
  • Participate in RWA optimization programme and conduct validation of RWA optimization initiatives from the business.
  • Attend to Credit RWA ad-hoc requests from regulator and business units within the agreed Service Level Agreement (SLA)

Improve Operations

  • Assist to configure and support on-going maintenance of Risk Weighted Asset Engine (SAS-CRMS) for Basel II Risk Weighted Capital Adequacy Framework Reporting.
  • Ensure that revision to operating practices or processes pertaining to regulatory and capital risks are appropriately agreed by all stakeholders and communicated effectively.
  • Support internal process re-engineering on Pillar I and Pillar III by advising on functional and business rules.
  • Support team lead and Unit Head in RWA Optimization initiatives in collaboration with Finance and Business Units.
  • Support enhancement to the SAS reporting engine, inclusive of CR testing.
  • To automate the manual process on reporting preparation, inclusive of UAT and support on deployment.

Customer

  • Ensure effectiveness and adequacy of risk management controls through audit rating and compliance, external auditors and regulators, and effective partnership with key stakeholders.
  • Engage with business units in terms of understanding movements in credit RWA on a month-to-month basis.
  • Provide advice and explanation on queries on credit Risk Weighted Asset where required.

**Only shortlisted candidates will be notified.

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