Responsibilities:
Credit Risk Model Development
- Develop credit risk models, statistical rating models, judgmental rating model, etc. for both Retail and Non-Retail customers for the Bank and its subsidiaries.
- Engage business and credit experts, business units, etc. for feedback and sign-off on models as well as facilitate cut-off score proposal and decision.
- Prepare and maintain model development documentation.
- Support models review by internal validation and audit teams and regulator to obtain model approval, including presentation of model details to internal committees.
- Support model implementation.
Model Monitoring
- Prepare, analyse and report non-retail rating distribution model performance, rating override and rating migration to monitor obligor credit qualify and portfolio movement.
- Prepare, analyse and report model performancem including application and behavioural scorecards.
Qualifications:
- FRM (Desirable requirement) , Bachelor's degree or higher in Statistics, Mathematics, Finance, MIS, Operational Research, Science or related fields from leading universities in TH or abroad (Minimum requirement).
- At least 2 years of experience in model development, model validation with leading Banks in Thailand
- Hands-on experience on credit risk model development especially on Basel IRB
- Good knowledge on credit products both Retail and Non-Retail
- Experience in statistics software or programming at advanced level (ability to write user-defined functions, macros), such as SAS , R / Python (either one is a must)
- Accountable and result-oriented with strong analytical skills and problem solving mindset
- Good team player, positive attitude toward hard working and working under pressure
- Good communication both in Thai and English
