Credit Modeller

2 weeks ago

Kuala Lumpur, Kuala Lumpur, Malaysia Affin Bank Full time
Credit Modeller

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JOB PURPOSE
Lead person responsible in matters relating to credit models of the bank, which involves

development of credit models, calibration of models, monitoring of model performance, resolving

model issues, supporting model users and escalating model issues to the management when

necessary.

KEY RESPONSIBILITIES


Responsible in developing credit models, and the key person responsible to review model development methodologies when external consultant is assigned for model development.

This includes A-Score, B-Score, PD, EAD and LGD models and MFRS 9 models for Retail and Non-Retail products.

Setting up and maintaining policies/guidelines on credit model related matters.

Monitoring of credit models and scorecards performance and reporting them to management in a consistent and timely manner.


Enhance and calibrate existing models when applicable as it is important that the scorecards perform as expected for business decisions.

Ensuring all models and scorecards implementation into system are tested and verified before going live.


Involvement in MFRS9 project, and future modelling projects - ensuring modelling methodologies are acceptable, validating vendor's work and involved in implementation UAT from model aspects.


Supporting business unit/model users on credit model related matters, and raising issues concerning models to the management for further actions.

Resolving model validation findings within a stipulated timeframe.

Getting management and board approvals on credit model matters, including new model development, calibration, enhancements and validation resolutions.

Enhancing models/scorecards systems when applicable.

SKILLS/KNOWLEDGE

Statistical background, preferably with at least 7 years' experience in analytics or modelling BASEL 2 models.


Proficient in Excel and SAS EG or SAS Base, or has had exposure in other analytical tools and willing to learn SAS programming.

Managing and guiding subordinates.

Job ID JR100179

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