Giám đốc Mô hình rủi ro tín dụng và phân tích nâng cao - MSB - 1P619

1, Development, Review, and Upgrade of Credit Risk Measurement Models (e.g., Scoring/Rating, PD, LGD, EAD, Risk Pricing, Expected Loss, Economic Capital, Stress Testing, IFRS, etc.):
- Organize, assign, and guide staff in the development, review, and upgrade of risk measurement models.
- Develop a plan and execute the construction, review, and enhancement of risk measurement models.
- Document and archive all materials related to the process of developing, reviewing, and upgrading models (in accordance with internal regulations on risk measurement model governance of the Bank).
- Establish regulations, processes, policies, and guidelines related to the construction/deployment/review of risk measurement models.
- Communicate and train on risk measurement models.
- Analyze and propose the application/adjustment/improvement of risk measurement models.
2, Collaboration in Building and Upgrading Databases, Tools, and Systems for Credit Risk Measurement:
- Organize, assign, and guide staff in building databases for risk measurement purposes, including identifying data requirements, conducting data validation, and documenting and archiving all materials related to the database construction.
- Organize, assign, and guide staff in developing and upgrading risk measurement tools and systems:
- Develop User Requirements Documentation (URD), create test cases, conduct User Acceptance Testing (UAT), and develop/adjust user manuals for tools/systems.
- Communicate and train users on the utilization of risk measurement tools and systems.
- Document and archive all materials related to the construction and upgrading of tools/systems, user manuals, and user training.
3, Monitoring and Reporting on the Operation of Credit Risk Measurement Tools and Systems:
- Organize, assign, and guide staff in the governance/monitoring and reporting of the operation of risk measurement tools and systems:
- Support business units and address user inquiries.
- Monitor and report potential operational risks related to the tools/systems (user behavior, system errors, etc.).
- Adjust parameters of tools/systems (as authorized), modify or request modifications to tools and systems; test tools/systems after adjustments/modifications; document and archive all related materials.
- Identify, receive, aggregate, and resolve issues arising in the application of risk measurement models, tools, and systems.
- Propose solutions for (i) revising/upgrading/developing risk quantification models, tools, and systems; (ii) amending related documentation.
4, Management of Unit Objectives:
- Develop detailed plans, assign tasks, and monitor the progress of work implementation.
- Evaluate the performance of employees within the unit.
- Train and support the professional development of employees in the unit; participate in the adjunct faculty program as mobilized by the Training Center.
- Participate in recruitment efforts and build the team under management.
- Update, disseminate, guide, and assign staff to implement relevant institutional documents.
- Foster a professional, effective, and cohesive working environment within the unit.
- Report to direct leadership on (i) the progress and quality of work, (ii) arising issues and solutions during the implementation process.