Senior Risk Consultant (Credit Risk)

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 Ho Chi Minh office with the details of the vacancy below
Key Responsibilities:
Develop and enhance Basel II PD, LGD and EAD models.
Conduct validation of model performance, Basel II PD, LGD and EAD models, as well as portfolio stress testing
Generate, analyse and standardise portfolio risk and capital reports, scorecard performance report and booking profile. Perform credit risk advise to senior management, regulators and other key stakeholders
Analyse product and credit programmes, including the review / estimation of risk parameters, product pricing, product structure and regulatory requirements
Develop and review Basel II credit risk related documentation, policies and procedures
Implement Basel II models, manage the scoring and capital computation engines and analytics datamart, conduct UAT and support overall deployment of models
Conduct training and research and development of new models, methodologies and model applications