Quantitative Risk Analyst
2 days ago
**Job Summary:**
We are seeking a highly skilled Quantitative Risk Analyst to join our team in EPF Malaysia's Risk Analytics & Modelling Section.
As a key member of the Risk Management Department, you will be responsible for monitoring and developing risk limits into our investment risk framework. Your analytical skills and expertise in statistical modelling will enable us to make informed decisions about our investments.
Key Responsibilities:
- Analyse and present Investment risk reports related to market risks such as credit Value-at-Risk (VaR), watchlist ratings, and other risks for our relevant investment portfolio.
- Prepare and review MFRS-related templates, parameters, and reports such as expected credit loss (ECL) calculations, MFRS 7 reports for quantitative and qualitative risk disclosure notes, and risk-related reports in our annual report.
- Implement a review of limits and management action triggers (MAT) for credit risk measurement, duration, and other related risks.
- Responsible for maintaining internal rating templates, working papers, and information service subscriptions related to credit or market risk systems.
- Perform other duties as required by the Supervisor periodically.
Requirements:
- Possess a bachelor's degree in Actuarial Science, Statistics, Mathematics, Business Administration, Finance, Accounting, or equivalent qualifications recognised by the Government from any local or overseas higher learning institutions.
- At least five years of experience in finance, investment, and credit risk management.
- Background and exposure in statistical modelling and mathematics.
- Internationally recognised professional qualifications such as Financial Risk Manager (FRM), Professional Risk Manager (PRM), and Certified Financial Analyst (CFA) would be an added advantage.
- Good understanding of the overall EPF investment risk framework, basic concepts, and risk measurement.
- Capable and skilled in decision-making.
- Driven, with high initiative and analytical thinking.
- Always strive to improve services and equip oneself with current investment knowledge and developments.
- Trustworthy attitude towards the organisation.
- Malaysian citizen.
- Pass the Malay Language including an oral test at the SPM level or equivalent as recognised by the Malaysian Government.
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