job details
about the company.
- Sizeable and fast growing banking group in Hong Kong with solid financial performance
about the job. ...
- Capable of execute modelling, provide quantitative analysis and regular bank-wide stress test on various historical data and trends in determining the appropriateness of credit risk (ECL & RWA), market risk and interest rate risks
- Carry out liquidity stress testing for deposits and lending statistical data and to ensure risks are holistically measured
- Review on IFRS-9 expected credit loss model (ECL) to assess credit risk of development of new banking products and business initiatives, estimation of expected credit loss with advanced internal ratings-based (A-IRB) methodologies
- Maintain and adjust macroeconomic forecasting input for existing IFRS-9 models
- Establish SAS and Python computing infrastructure for risk modelling and stress testing
- Improve/ review existing risk policies and documentations to ensure compliance with regulatory and market standards.
skills & experiences required. • Degree holder in finance, risk management, engineering, quantitative or related disciplines.
- At least 4-5 years of credit risk, credit analytic, credit modelling experience in a banking environment, ideally with prior experience in handling expected credit loss (ECL)
- Good knowledge of HKFRS-9 Requirements and Basel Requirements.
- Programming ability i.e. SAS, Python, C++ or SQL.
- Excellent data analytical, quantitative and problem solving skills.
- Professional Qualification like FRM, CFA, ACCA etc is treated as a plus.
- Good command of both written and spoken English and Chinese (Cantonese and Putonghua).