Model Risk Management

23 hours ago

Kuala Lumpur, Kuala Lumpur, Malaysia RHB Banking Group Full time

Primary Objective
Independently validate RHB Banking Group's models, rating systems and the estimation of risk components on a regular cycle to ensure:

  • the Bank's implementations of Basel II IRB and IFRS 9 models for Credit Risk, IMA for Market Risk as well as AMA for Operational Risk are in accordance to the regulatory standards;
  • objectives, assumptions, risk factors and performance of the models remain consistent with their intent, construction and design; and
  • models and risk estimates remain predictive, stable and risk sensitive.

Key Responsibilities

  • To review the adequacy and effectiveness of rating system processes, the oversight structure and control procedures to ensure the applicability and proper application of the quantitative methods in practice. The review covers model design / rating systems documentation, data quality, governance and control as well as internal use of rating (Qualitative Validation).
  • To review model developmental evidence, outcome analysis and back-testing using the data gained during practical operations of the model while comparison or benchmark data can be included as a supplement (Quantitative Validation).
  • To independently validate prior to implementation and adoption of the new / re-calibrated models for quality assurance.
  • Perform tracking, monitoring and reporting progress on Outstanding Issues by relevant parties such as risk modeling, credit risk, business units, etc. pertaining to all validated models.
  • Continuous enhancement of model validation methodologies or techniques to enhance effectiveness and efficiency

Requirements

  • Bachelor Degree - Any related field(s).
  • Preferably 1 - 2 years of credit experience in risk management or model development or model validation.
  • Preferably with experiences in risk management.
  • Good analytical skills.
  • Good statistical modeling skills.
  • Good communications and writing skills.
  • Programming skills in SAS would be an added advantage.

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