Portfolio Risk Analytics – Wholesale & Retail Banking

  • Negotiable
  • Hong Kong
  • Permanent, Full time
  • Pure Hong Kong , EA Licence No: 12S5954
  • 17 Mar 19

Our client is an expanding banking group looking to grow their Portfolio Risk Analytics team. They are looking to hire 2 headcounts with wholesale and/or retail credit risk analytics experience to join their team based in Hong Kong.

Responsibilities:

  • To develop and maintain quantitative models / scorecards and systems for retail and wholesale portfolios and to support the group’s strategies in embedding Portfolio Analytics in risk management standards and practices.
  • To support senior management in the regulatory engagement on matters relating to model risk management (HKMA etc)
  • Participate in model development for portfolios (including PD, LGD, EAD, application, behavior and collection models), ensuring model efficacy and compliance with internal policies and external regulatory requirements, ensuring successful model implementation and performance monitoring.
  • Work closely with model validation team to ensure adherence to the governance framework for model deployment and enswure timely closure of validation issues 
  • Proactively engage various model stakeholders, such as credit and business, and senior management for model acceptance, approval and maintenance

Requirements:

  • University graduate or above in Statistics, Finance, and Economics is preferred.
  • At least 5-7 years of experience in the development / monitoring / implementation of risk models including scorecards and/or Basel 2 models retail and non-retail portfolios, including framework for stress testing and ICAAP.
  • Experience of end to end use of models from risk management through to capital calculation is advantageous
  • Good understanding of the Basel II Accord, HKMA Supervisory Requirements
  • Good knowledge on credit and business products.
  • Working knowledge of SAS and Excel is essential. Knowledge in R and Python will be an added advantage

Should you wish to have a confidential discussion, please contact Fabienne Cheng at 2520 5073