Credit Risk Model Validation Junior - TA107

Vietnam Prosperity Commercial Joint Stock Bank (VPBank) is one of the leading banks in applying big data analysis and statistical modeling in decision making, business operations, and capital calculation. The Bank is currently looking for candidates for the position of Credit Risk Model Validation Intern/Contractor/Junior/Senior, working at Head Office (89 Lang Ha).
Job Description
Performing validation for models of the whole VPBank’s ecosystem:
Developing Model Validation Framework and relevant internal policies and guidance, model validation methodology documentations covering qualitative and quantitative approaches. Performing overall model validation as an independent model validator, for models including but not limited to:

Liquidity risk models owned by the Bank’s Risk Management Division serving the following purposes: business decisions, management, liquidity reporting and compliance with international standards.
Market risks and Counterparty risk models of the Risk Management Division.
Other risk models and business models of VPBank or of member companies of VPBank (FE Credit, OPES, ...), following the Board of Management or the Chief Risk Officer’s inquiries.
Credit risk models for customer scoring, debt collection, fraud detection, and compliance with international standards such as Basel II (for AIRB and FIRB) and IFRS9.

Identifying reasons, factors impacting models (if any) and proposing proper recommendations to address the issues.
Performing Model Risk Management, periodically assessing and reporting model risk exposures, while simultaneously developing procedures, tools and IT infrastructure system essential for monitoring, supervision and assessment of impacts of model risk
Research & Study

Developing challenge models against current models.
Researching state- of- the- art techniques in model development (Machine Learning, AI ...) to apply in models in banks.

Qualifications

Strong background in mathematics, quantitative finance, banking.
National or international prizes in natural science, model development or data mining is an advantage.
Ability to research new model development methodologies.
Bachelor’s degree or higher.
Internationally recognized certificate of financial analysis, financial risk management, data analysis, data science (FRM, CFA, CPA ...) is an advantage.
Bachelor or master’s degree in these fields in developed countries is an advantage.
Knowledge in data science, data analysis is an advantage.

Experience

Prioritize candidates having experiences in banking and finance field, risk management, credit risk model development, credit portfolio analysis, data science.

Competence

Ability to work independently and work in team.
High responsibility in work.
Be careful and meticulous in work.
Ability to synthesize and analyze.
Ability to communicate and work in English.
Logical thinking.
Self- study, good research skills.

Skills

Good communication skills.
Prioritize candidates have ability to use programming software such as VBA, SQL, SAS, Python, R, or other statistics tools.
Proficiency in Microsoft Office: Presentation Making (Power Point), Professional Documentation (Word).

Annual leave (varied based on job grade)
Competitive salary and bonus package
Traing courses based on the job, Training framework/Learning RoadMap for each position
Travel allowance
Working time: from Monday to Friday & 2 Saturday mornings/month
A dynamic and friendly working environment, full of great opportunities to develop your career and abundant interesting activities to join (Sports competitions, talent contests, teambuilding...)
Insurance in accordance with Labor laws + VPBank Care insurance for all employees. (insurance covered for family members for entitled employees);
Staff loan with special interest rates

Cập nhật gần nhất lúc: 2024-04-03 11:26:41