Lead Specialist, Risk Modelling & Data Science
GXBank
Date: 3 hours ago
City: Petaling Jaya
Contract type: Full time
Get To Know Our Company
GX Bank Berhad - the Grab-led Digital Bank - is the FIRST digital bank in Malaysia, approved by BNM to commence operations. We aim to leverage technology and innovation to serve the financial needs of the unserved and underserved individuals, and micro and small medium enterprises.
We are driven by our shared purpose and passion to bring positive transformation to the banking industry, starting with solutions that address the financial struggles of Malaysians and businesses.
Get To Know The Role
GX Bank Berhad - the Grab-led Digital Bank - is the FIRST digital bank in Malaysia, approved by BNM to commence operations. We aim to leverage technology and innovation to serve the financial needs of the unserved and underserved individuals, and micro and small medium enterprises.
We are driven by our shared purpose and passion to bring positive transformation to the banking industry, starting with solutions that address the financial struggles of Malaysians and businesses.
Get To Know The Role
- To develop and implement risk modelling framework and portfolio analytics tools to manage Retail and MSME credit exposures within the Bank.
- Develop Credit Risk scorecards and models for Retail and MSME portfolios in accordance with Basel requirements using traditional and AI / ML modelling approaches.
- Calibrate risk parameters and optimise scorecard cut-offs to achieve sound risk management.
- Conduct scorecard annual review and portfolio stress testing.
- Develop and maintain a comprehensive risk database, preparation of ECL reporting and perform in-depth risk analysis.
- Hands-on development of ECL model, i.e. PD, LGD and EAD models, in meeting MFRS9 requirements.
- Synchronise with group-wide frameworks, processes (including modelling), tools and reporting which support the desired outcomes for risk modelling and capital optimisation.
- Passionate in Data which includes ETL, analyse, and interpret data patterns within a complex data environment.
- Well versed in credit modelling and/ or data science techniques (AI / ML models) which includes hands-on model development and implementation.
- Highly proficient in coding (Python / SQL etc); experienced in AWS Cloud technology would be an added advantage.
- At least 8 years of experience in data science/ risk management/ business analytics/ data engineering.
- Self-motivated, passionate and analytical.
- Degree or Master’s degree in Data Science, Banking/Finance/Mathematics, Statistics or Engineering.
- CFA / FRM / BRM / Chartered Banker would be an added advantage.
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