- Implement projects to build, validate, adjust models, tools, systems to measure risk.
- Lead the building and adjustment of policies, regulations, procedures related to risk models.
- Lead the building of models; validate models after implementation in the customer credit rating system and propose adjustments and improvements to model effectiveness (if any).
- Lead the building of criteria, forecasting models, early warning of risks.
- Lead the building of scenario sets, stress testing tools for credit risk, credit concentration risk as required in the internal capital adequacy assessment process - ICAAP.
- Coordinate with the System Management Department and related units to build the XHTDNB system.
- Coordinate with the Credit Portfolio Management Department, research, build models, tools to assess, measure credit risk to support and improve the quality of measurement, forecasting, and credit portfolio risk management.
- Participate in the IFRS9 project, research and propose solutions, roadmap for building expected credit loss (ECL) models and apply credit risk provision calculations within the project scope.
- Implement training, consulting, guidance on deploying risk measurement models and tools to business units and relevant staff across the bank.
- Perform other tasks as assigned and directed by the Head of Department, Director/Deputy Director of Risk Management Block, General Director and/or persons assigned and authorized according to ABBANK regulations from time to time.
Qualifications:
Graduate in Mathematics, Mathematical Economics, Applied Mathematics - Information Technology, Finance - Banking, Auditing or other related majors/specializations.
Experience:
- Minimum 7 years of experience in model building;
- Or Minimum 5 years of experience in model building and minimum 5 years of experience in risk management or equivalent field.
- Experience participating in Basel II implementation at Banks
- Preferred: experience in risk model audit.
Skills:
- IT: Proficient in office software, proficient in one of the programming languages, data analysis and processing (such as R, Python, SQL, SPSS, SAS, STATA, ....)
- Knowledge of model building
- Data assessment and analysis skills
- Problem-solving skills
- Decision-making skills
- High-pressure working skills
- Team organization and management skills
- Planning and strategic thinking skills
- Integrity, carefulness, creativity
- Proficient in office software
- Basic English communication
