Risk Manager(Credit Model Validation) Risk Manager(Credit Model Validation) …

Bank Of China (Hong Kong) Limited
in Hong Kong, Hong Kong, Hong Kong
Permanent, Full time
Be the first to apply
Bank Of China (Hong Kong) Limited
in Hong Kong, Hong Kong, Hong Kong
Permanent, Full time
Be the first to apply
Risk Manager(Credit Model Validation)
  • Execute validation of risk data aggregation and risk reporting against the BCBS239 regulatory requirements, identify any compliance gap, and prioritize a roadmap for the gap-closing activities.
  • Conduct qualitative validation by examining itemized criteria for risk data aggregation and risk reporting to comply with the BCBS239 validation requirements.
  • Conduct quantitative validation with standardized tools and templates.
  • Assess whether responsible personnel follows the policies and procedures established for risk data aggregation and risk reporting.
  • Execute qualitative and quantitative validation of credit scorecards, PD/LGD/EAD models, or other credit risk models (e.g. portfolio risk stress testing, economic capital, IFRS9) across retail and non-retail exposures in accordance with regulatory requirements
  • Manage validation process including planning and executing project activities, coordinating, and liaising with different parties in the Bank.
  • Prepare reports and make recommendations to senior management or related stakeholders.
  • Review policies and procedural guidelines regularly.
  • Bachelor degree or above with major in Computer Science, Data (or Business) Analytics, Management Science, Operations Management, Computational Economics, Engineering or equivalent discipline.
  • At least 3 years' working experience in data quality control, data report and monitoring, data quality management or similar data analytics area in financial institutions, business sectors, consultancy or regulatory bodies (a senior role can be considered, if more extensive experience is involved).
  • Proficiency in data analysis tools such as SAS, R or VBA
  • Sophisticated analytic capacity and critical thinking
  • Good knowledge of BCBS239 will be a plus
  • Solid understanding of model development and (or) model validation will be a plus as well
  • Self-motivated, willing to learn, detail-minded and with passion for analytics excellence
  • Effective communication and interpersonal skills, and sufficient project management skills
  • Excellent in both written and spoken English and Chinese