Senior Executive, Data Modeller

•    Assist with the development, implementation, continuous monitoring and refinement of all MFRS9 models under Non-Retail portfolios, which include: 
-    PD (Probability of Default)
-    EAD (Exposure at Default)
-    LGD (Loss Given Default)
-    FL MEV (Forward-Looking Macro-economic models)
-    SICR (Significant Increase in Credit Risk)
•    Assist with data extraction/ anomalies diagnosis/ cleaning, perform supporting analysis and assist in hypothesis testing during model development.
•    Assist in preparing working files, data, and scripts for model validators, address validation logs, and support the resolution of model-related gaps and findings.
•    Understand UAT requirement and perform detailed UAT, draft UAT test script and document the result to ensure accuracy of computation logic as described in functional specification/ CR raised.
•    Assist with periodic model performance monitoring, identify and highlight any breaches of statistical thresholds, and perform additional analysis to support proposals for model changes or refinements.
•    Conduct monthly analysis of ECL movements to explain key drivers and trends, providing insights to support management decision-making.
•    Assist in developing automated reporting solutions and workflow enhancements to streamline ECL reporting processes, minimize manual intervention, and improve operational efficiency.
•    Maintain and update manual adjustment and parameters files for monthly ECL computation, investigate and escalate to manager if abnormal trend observed, provide support in ensuring the accuracy of ECL computation.
•    Assist with SOPs and documentation by incorporating updates related to model changes and ECL calculator maintenance, ensuring they reflect the latest practices, methodologies, and governance processes.