Retail IRB Modelling Associate I SEA – Malaysia Based recruitment
Job Description:
• Develop consumer models for Basel II regulatory compliance through Advanced Internal Ratings Based (AIRB) approach
• Estimate risk parameters – Probability of Default(PD) , Exposure At Default(EAD) and Loss Given Default(LGD) for calculating risk-weighted assets and minimum capital requirements
• Support business on all risk related reporting and queries; including assessment and approval of all new model developments and/or changes to existing models and related risk data and infrastructure
Qualifications Skills:
• At least 2 years of working experience in building credit scoring and other credit risk models across a subset of application, behavioural and collection scorecards
• Intermediate (or Advanced) Statistical and data management software skills - SAS, SQL, Excel
• Exposure to the practical application of the Basel 2 regulatory framework, including PD, LGD, EAD models and capital estimates
Interested candidates please send in your resume in word format to qrfsing@selbyjennings.com