Risk Manager, Credit Risk Modelling
Bank of East Asia Hong Kong Full-time
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About this role
Develop and maintain credit risk models for BEA, supporting IFRS 9, Basel capital and stress testing requirements.
Responsibilities
- Develop and validate credit risk models including PD, LGD and EAD for retail and commercial portfolios. Conduct IFRS 9 expected credit loss calculations. Prepare Basel capital and stress testing analyses. Monitor model performance and conduct backtesting. Prepare model documentation and regulatory submissions.
Requirements
- Minimum 5 years credit risk modelling experience in banking. Strong quantitative background with proficiency in SAS, Python or R. Knowledge of IFRS 9, Basel III and HKMA risk data requirements. PhD or Masters in Mathematics, Statistics or Economics preferred. FRM qualification an advantage.
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