Manager - Credit Risk Modelling (Risk Services)

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Position Summary
We are seeking experienced professionals at Manager or Senior Manager level to join our Risk Consulting team in Ho Chi Minh City/ Hanoi. This role offers the opportunity to participate in high-profile regulatory and risk transformation projects with leading banks in Vietnam. The principal focus will be on Basel III and State Bank of Vietnam (SBV) Basel regulations, particularly concerning Credit Risk implementation.
Key Responsibilities
• Deliver Basel III/SBV Basel regulatory projects for banks, with an emphasis on Credit Risk.
• Analyse large-scale banking data and develop methodologies, calculation logic, and tools compliant with Basel II/III and SBV Basel regulations. This includes calculations for Capital Adequacy Ratio (CAR), Risk-Weighted Assets (RWA), Internal Capital Adequacy Assessment Process (ICAAP), as well as credit risk and credit concentration risk stress testing.
• Develop and refine framework documentation related to Basel III/SBV Basel credit risk, including policies, procedures, and internal guidelines.
• Support the implementation of credit models, Basel computation engines, and risk analytics data marts. Tasks include the development of Business Requirements Documents (BRD), conducting User Acceptance Testing (UAT), and providing support for end-to-end system deployment.
• Conduct training programmes and facilitate knowledge sharing, whilst engaging in research and development of new risk models, methodologies, and analytical applications.