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Job ref no.: KC8019-00-CT
Nanyang Commercial Bank

Senior Model Validation Manager (Ref: KC8019-00-CT)

Nanyang Commercial Bank

Benefits
  • 5-day week
  • Dental plan
  • Discretionary bonus
  • Education subsidies
  • Housing allowance
  • Insurance plan
  • Meal allowance
  • Medical plan
  • … + 2 more

Evaluate the performance, appropriateness, applicability and suitability of credit risk PD/LGD/EAD models, or relevant models (e.g. stress testing, economic capital, IFRS 9 impairment modeling) across retail, corporate, financial institution and sovereign exposures in compliance with regulatory requirements and best practices. Execute qualitative validation, including assessment of model development methodology, assumptions, empirical judgments, potential limitations, implementation and use-test etc. Execute quantitative validation, including preparing validation datasets, identifying data quality issues, performing statistical tests from different performance dimensions. Manage validation process including planning and executing of project activities, coordinating and communicating with different parties. Prepare validation reports, document findings and make recommendations of enhancing model framework to senior management or related stakeholders. Review policies and procedural guidelines regularly.

Requirements:

  • Master or Bachelor Degree holder in Risk Management, Statistics/ Applied Mathematics, Quantitative Finance or related disciplines preferably with professional qualification in ACCA/ CPA/ CFA/ FRM / PRM;
  • In-depth knowledge in Basel requirements, IFRS 9 and banking practices in credit risk models validation is essential;
  • At least 7 years banking experience in the validation of credit risk models and hands-on experience is preferred;
  • Sound knowledge in statistical and quantitative analysis and familiar with SAS, Excel VBA, SQL and MS office;
  • Analytical, independent, possession of good communication and interpersonal skills;
  • Proficient in both spoken and written English and Chinese, fluent in Putonghua are preferable.

(Candidate with less relevant experience will be considered as Model Validation Manager.)

If you are flexible enough and zeal for a harmonious and supportive working environment where enables you to grow and succeed professionally, please send a full resume indicating your public examination results (HKCEE and HKALE / HKDSE), your present and expected salary and quoting reference number attention to Human Resources Division, Nanyang Commercial Bank, 151 Des Voeux Road Central, Hong Kong or apply through email. For details, please visit http://www.ncb.com.hk/ and select the page Recruit.

We are an Equal Opportunities Employer. Data collected would be used for recruitment purposes only. Applicants who do not hear from us within 8 weeks may consider their applications unsuccessful and their data will be destroyed within 12 months of receipt.

 

 

 

More job information
Job ref no. KC8019-00-CT (CT3112365-01#1692)
Salary
  • N/A
Job Function
Industry
Location
  • Central
Employment Term
  • Permanent
  • Full-time
Experience
  • 7 years - 9 years
Career Level
  • Middle management level
Education
  • Degree