Credit Risk Model Validation INTERNNgân hàng TMCP Việt Nam Thịnh Vượng - VPBank

Job Description:
• Validate credit risk models (PD, LGD, EAD, Prepayment) based on qualitative method (model design, methodology, suitability of model in actual business of the Bank...) and quantitative method (stability, discriminatory, accuracy) as an independent model validator.
• Evaluate model's compliance with international standards such as Basel II (for FIRB and AIRB), IFRS9.
• Validate business models (Application Model, Profit model, Attrition Model...) in the entire life cycle of the model: pre-implement, periodical monitoring, and post-validation.
• Identify reasons, factors impacting models (if any) and propose proper recommendations to address the issues. Research & Study • Develop new models to challenge and compare with current models.
• Research state-of-the-art techniques in model development (Machine Learning, AI ...) to apply in models in banks.
• Document model development methodologies.
• Design Data Lake, procedure, tools for model development and validation.
• Research to expand scope of model validation: Market Risk, Liquidity Risk ...
Qualifications
• Bachelor's degree or higher.
• Strong background in mathematics, quantitative finance, banking.
• Knowledge in data science, data analysis is an advantage.
• Ability to research new model development methodologies.
• Bachelor or master's degree in these fields in developed countries is an advantage.
• National or international prize in natural science, model development or data mining is an advantage.
• Internationally recognized certificate of financial analysis, financial risk management, data analysis, data science (FRM, CFA, CPA ...) is an advantage.
Experience
• Prioritize candidates having experiences in banking and finance field, risk management, credit risk model development, credit portfolio analysis, data science.
Competence
• Logical thinking.
• Self-study, good research skills.
• Ability to synthesize and analyze.
• Ability to communicate and work in English.
• Ability to work independently and work in team.
• High responsibility in work.
• Be careful, meticulous in work.
Skills
• Proficient in Microsoft Office.
• Prioritize candidates having ability to use programming software such as VBA, SQL, SAS, Python, R, or other statistics tools.
• Good communication skills.
Benefits:
• Professional training from specialists in model development.
• Have the opportunity to work with structure, standardized, abundant, and comprehensive data sources in banking industry.
• Competitive salary and bonus package (13-th salary & KPI bonus).
• Preferential loan with special interest rates.
• Insurance in accordance with Labor laws + VPBank Care insurance for all employees (insurance covered for family members for entitled employees).
• 14+ annual leave (based on job grade).