Credit Model Validation Specialist, Digital Banking - Singapore - Morgan McKinley

Morgan McKinley

Verified Company

Singapore

6 days ago

Posted by:

Wei Jie

beBee Recruiter

Role and responsibilities

Perform pre and postimplementation validations on credit risk models and FRS 9 models in line with bestpractice standards
Employ statistical modelling methodology in performing validations and produce outcomes to be analysed from statistical as well as business perspective
Work closely with model developers and provide feedback and valueadded advice on the models prior to presentation for approval to Management
Provide and engage in challenging and valueadding discussions to model developers in order to ensure models approved are of the highest standard
Manage electronic data, perform data extraction from databases or write specifications for data to be extracted by the IT team
Aware of Regulators' (MAS) requirements for IRB models and ensure adherence
Present and explain validation results to the respective management committee/s for endorsement and approval
Conduct occasional briefing sessions to external parties on validation related matters

Key requirements

Possesses a quantitative qualification with at least a Degree (or its equivalent) preferably in Statistics, Mathematics, Accounting, Finance, Banking, Economics, or other related/suitable quantitative discipline from a recognized University
At least 5 years working experience in similar / related functions or statistical modelling related functions
Familiar with credit risk models used by the banks, such as Application and Behaviour scorecards for business use as well as capital models; namely Probability of Default (PD), Exposure at Default (EAD) and Loss Given Default (LGD)
Familiar with FRS 9 models
Experience in other model types such as Credit Concentration Risk and Pricing models is of added advantage
Highlyskilled in various Excel mathematical and data manipulation functions
Experience in data analysis and data manipulations using SAS software. Familiar with various database structures and proven ability to work with IT on data extraction
Exposure to the various types of portfolios managed by the banking group and experience in business/corporate loan origination and credit processing is an added advantage
Meticulous, organised and able to produce documentation of high quality, with clear and concise messaging
Selfassured and able to interact well with various working levels

Morgan McKinley Pte Ltd, EA
License No: 11C5502

Lee Boon Hou (Hagen),

Registration No:
R1870932