Mathematics, Statistics & Information Sciences (Science & Technology)
Employment Type:Full time
Plan and manage non-traded market risk models (e.g. IRRBB behavioural model) development, testing, monitoring and backtesting to ensure the model is fit for the purpose and meets bank's internal standards and regulatory requirements where applicable.
Work closely with the non-traded market risk ("NTMR") team to develop NTMR models e.g. IRRBB behavioural model.
Collaborate with independent model validators to ensure developed models are independently validated.
Manage model development, testing, and monitoring processes to ensure they are completed in a timely and accurate manner.
Review monitoring results and propose enhancements/recommendations for model improvements to meet required standards.
Maintain clear and thorough model documentation to ensure model risk governance and processes are followed.
Address model findings as identified by independent model validators.
Maintain a modelling database to ensure data is adequate to support future model development and ongoing model monitoring.
Undertake other ad-hoc tasks as assigned by Supervisors/Head of Department/Management.
Plan and manage training initiatives to develop the technical competency of the team through on-the-job training and other structured learning initiatives.
Job Requirements:
FRM or PRMIA certification is an advantage.
6 years of experience in a related area with IT programming knowledge (e.g. VBA).
Familiarity with non-traded market risk and interest rate risk in the banking book ("IRRBB").
Experience in statistical modelling of banking book product early redemption or prepayment behavioural models.
Proficient in statistical model development, model testing, model monitoring, and backtesting.
Application Questions:
Which of the following statements best describes your right to work in Malaysia?
What's your expected monthly basic salary?
Which of the following types of qualifications do you have?
How many years' experience do you have as a Quantitative Analyst?
Have you worked in a role that requires experience with statistical modelling?
Company Overview:
Banking & Financial Services
More than 10,000 employees
Established in August 1975, AmBank Group is one of the largest banking groups in Malaysia by market capitalization and comprises AMMB Holdings Berhad and its subsidiaries.
At AmBank Group, our people are the reason for our achievements today. We believe in diversity and creativity. We look for energy, deep passion, and an unwavering drive to excel. We want motivated, agile, and ambitious individuals to join us in building a first-class team to deliver excellence within a dynamic and results-oriented environment.
Adding greater value to this one-stop financial hub is the Group's strategic partnership with Australia and New Zealand Banking Group Ltd (ANZ), one of Australia's leading financial institutions, International Assurance Group (IAG), and MetLife, Inc., providing the synergy of a wide network, regional presence, and international banking and financial services expertise.#J-18808-Ljbffr