SVP | Retail Credit Portfolio Analytics | Hong Kong based recruitment

Manager | Retail Credit Risk

Location: Hong Kong

Salary: $850k - $1.3mil HKD + bonus + benefits

Responsibilities

Lead team that develops and validates Basel II models which includes Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) pooling models and risk parameter estimation for retail credit products of the bank
Build Application / Behavioral scorecards for retail credit products
Undertake complex data analysis and / or predictive modeling (e.g. logistic regression, linear regression, decision tree design) utilizing standard package such as SAS
Develop retail credit risk stress test models using statistical and portfolio analysis
Conduct monthly review of the Basel II model parameters / score card performance
Conduct stress testing of the retail portfolio on a regular basis
Analyze / monitor portfolio trend and quality using Basel II / stress test models
Engage in Research and Development initiatives to improve Basel II / Score cards / stress test methodology and processes

Requirements

Degree in either Statistics, Economics or Business Management discipline. Graduates from other discipline with relevant working experiences are also welcome
Candidate with Risk management certification such as FRM (Financial Risk Manager) or PRM (Professional Risk Manager) will have added advantage
Possess strong business acumen with good communication skills
Good programming skills with fluency in SAS
Team player
Able to work under pressure and meet deadlines
Working knowledge of risk management regulations such as Basel II is preferred

Please send all enquires to qrfsing@selbyjennings.com or call +65 6808 5600

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