Risk Modeling

1 day ago

Bangkok, Bangkok, Thailand CIMB Thai Bank Full time

Responsibilities:

Credit Risk Model Development

  • Develop credit risk models, statistical rating models, judgmental rating model, etc. for both Retail and Non-Retail customers for the Bank and its subsidiaries.
  • Engage business and credit experts, business units, etc. for feedback and sign-off on models as well as facilitate cut-off score proposal and decision.
  • Prepare and maintain model development documentation.
  • Support models review by internal validation and audit teams and regulator to obtain model approval, including presentation of model details to internal committees.
  • Support model implementation.

Model Monitoring

  • Prepare, analyse and report non-retail rating distribution model performance, rating override and rating migration to monitor obligor credit qualify and portfolio movement.
  • Prepare, analyse and report model performancem including application and behavioural scorecards.

Qualifications:

  • FRM (Desirable requirement) , Bachelor's degree or higher in Statistics, Mathematics, Finance, MIS, Operational Research, Science or related fields from leading universities in TH or abroad (Minimum requirement).
  • At least 2 years of experience in model development, model validation with leading Banks in Thailand
  • Hands-on experience on credit risk model development especially on Basel IRB
  • Good knowledge on credit products both Retail and Non-Retail
  • Experience in statistics software or programming at advanced level (ability to write user-defined functions, macros), such as SAS , R / Python (either one is a must)
  • Accountable and result-oriented with strong analytical skills and problem solving mindset
  • Good team player, positive attitude toward hard working and working under pressure
  • Good communication both in Thai and English

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