Senior Associate - Credit Risk Modelling (Risk Services)

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We help clients meet the increasing demands of regulators, shareholders and other stakeholders to ensure robust and reliable approaches to governance, risk management and compliance with regulations. We provide a full suite of governance, risk management and compliance services covering the assessment, design and implementation of governance, risk management, compliance and internal control frameworks, performing board effectiveness assessments, risk assessments, development of risk appetite, tolerances and early warning systems to internal audit department evaluations and set-up and outsource internal audits.
We are currently seeking for Senior Associate based in Hanoi office with the details of the vacancy below:
Key Responsibilities:
• Develop and enhance Probability of Default (PD), Loss Given Default (LGD), and Exposure At Default (EAD) models in accordance with Basel or IFRS 9 standards.
• Conduct thorough validation of model performance, including PD, LGD, and EAD models, and carry out portfolio stress testing to assess model robustness against adverse economic conditions.
• Generate, analyse, and standardise portfolio risk and capital reports, including scorecard performance reports and booking profiles. Provide insightful credit risk advice to senior management, regulators, and other key stakeholders.
• Analyse and evaluate product and credit programmes by reviewing and estimating risk parameters, assessing product pricing and structure, and ensuring compliance with regulatory requirements.
• Develop, review, and maintain comprehensive Basel II credit risk-related documentation, policies, and procedures to ensure a robust governance framework.
• Implement Basel/IFRS9 models, manage the scoring and capital computation engines, oversee the analytics datamart, conduct User Acceptance Testing (UAT), and support the overall deployment of models.
• Undertake advanced data analysis and modelling to support business decision-making, leveraging techniques including statistical analysis, machine learning, and predictive modelling.
• Develop and maintain robust dashboard that facilitate timely and accurate insights for stakeholders, enabling data-driven strategies to enhance business performance.
• Stay abreast of emerging technologies, including cloud computing and Generative AI (GenAI), and explore their potential applications within the organization to optimize operations and drive innovation in risk management practices.
• Conduct training sessions for team members and stakeholders, ensuring a thorough understanding of models and methodologies, while also engaging in research and development of new models and applications.