Manager, Finance - Business Finance Advisory & Financial Reporting Standard at CIMB Group Malaysia

Kuala Lumpur, Kuala Lumpur, Malaysia -

Full Time

Start Date

Immediate

Expiry Date

19 Aug, 26

Salary

0.0

Posted On

21 May, 26

Experience

5 year(s) or above

Remote Job

Yes

Telecommute

Yes

Sponsor Visa

Skills

IFRS 9, Credit Risk Modelling, Probability of Default, Loss Given Default, Exposure at Default, Expected Credit Loss, Statistical Analysis, Backtesting, Data Preparation, Model Validation, Financial Reporting, Quantitative Analysis, Data Visualization, UAT, Programming, Risk Assessment

Industry

Banking

Description

IFRS9 Credit Risk Modelling, Monitoring & Analytics • Malaysia Modeling • As a key developer of FRS9 models ( Probability of Default , Loss Given Default and Exposure at Default). • To study actual historical data and support stakeholders if the business portfolio have sufficient data to develop a robust performance model for Expected Credit Loss quantification. • To conduct in-depth analysis and data preparation for various model components. Example: Model assumptions, recovery data, cure data, discount rate, workout period, data exclusions, risk drivers and etcs. • To analyze and study the optimal selection of performance data period range is the best to reflect the business portfolio. • To explore and investigate change in customer behaviour in different time event. • To identify appropriate model scope and detect homogeneity pool to be incorporated as risk assessment. • To conduct backtesting to validate the predictive power of the models. • Revamp modelling methodology through various statistical analyses and research papers to optimize the model and make recommendation for improved/new model design and methodology. • To incorporate efficient and effective forward-looking measurement to derive a forward-looking provision that includes the expected impact of macroeconomic condition • To evaluate the impact model changes on Expected Loss and provide management an insightful information for decision making. • Collaboration work with Risk, Finance, Economist and Business stakeholders in order to obtain qualitative inputs for model improvements. • Worked closely with risk validation team and PWC to ensure closure of issue arising from reviews and redevelopment. • Responsible in ensuring that the model documentation and all closure of model planning are in order for audit and regulatory purposes. • Preparing model approval memo for management presentation and decision. • Regional Modeling & Advisory • Provide Niaga modelling methodology advices and knowledge sharing/workshop regarding Group’s modelling approach. • For SG, TH, PH, KH, similar to Malaysia modelling scope when modelling services is required. In addition, need to conduct knowledge transfer, sharing session, on-site walkthrough or workshop for the regional team. • Monitoring & Analytics Specialist • Monitoring server system enhancement, automation and process improvement. • To maintain the usage of monitoring server, availability of data sources flow into monitoring server. • To study and prepare monitoring system change request (CR), FSD, user requirement and conduct UAT. • To determine scopes and model components to be monitored. • To design and develop programming code to execute model monitoring function by portfolio and types of models respectively. • To track and provide critical model performance insights. • To advice regional team regarding any monitoring area and knowledge sharing/ workshop when necessary. • To support queries from internal & external auditors and regulators. Provide insightful information to external auditors for their assessment and recommendation to the bank. • To design visualization and populate result in MRMWG. • Assist to conduct insightful and impactful business performance metrics and quantitative dashboard with in-depth analytics and trends. • To conduct quality and quantity analysis on the trend, movement, portfolio profiling from PD/LGD/EAD model point of view. • To utilize the appropriate technology tools/ systems to visualize analysis

Responsibilities

Develop and maintain IFRS 9 credit risk models (PD, LGD, EAD) and conduct in-depth analysis for Expected Credit Loss quantification. Provide regional modeling advisory and manage the monitoring server system to track model performance and ensure regulatory compliance.