HEAD OF RISK MODELLING & ADVANCED ANALYTICS

Responsibilities

1. Development, Review, and Upgrade of Credit Risk Measurement Models (e.g., Scoring/Rating, PD, LGD, EAD, Risk Pricing, Expected Loss, Economic Capital, Stress Testing, IFRS, etc.)

• Organize, assign, and guide staff in the development, review, and upgrade of risk measurement models.
• Develop a plan and execute the construction, review, and enhancement of risk measurement models.
• Document and archive all materials related to the process of developing, reviewing, and upgrading models (in accordance with internal regulations on risk measurement model governance of the Bank).
• Establish regulations, processes, policies, and guidelines related to the construction/deployment/review of risk measurement models.
• Communicate and train on risk measurement models.
• Analyze and propose the application/adjustment/improvement of risk measurement models.

2. Collaboration in Building and Upgrading Databases, Tools, and Systems for Credit Risk Measurement

• Organize, assign, and guide staff in building databases for risk measurement purposes, including identifying data requirements, conducting data validation, and documenting and archiving all materials related to the database construction.
• Organize, assign, and guide staff in developing and upgrading risk measurement tools and systems.
• Develop User Requirements Documentation (URD), create test cases, conduct User Acceptance Testing (UAT), and develop/adjust user manuals for tools/systems.
• Communicate and train users on the utilization of risk measurement tools and systems.
• Document and archive all materials related to the construction and upgrading of tools/systems, user manuals, and user training.

3. Monitoring and Reporting on the Operation of Credit Risk Measurement Tools and Systems

• Organize, assign, and guide staff in the governance, monitoring, and reporting of the operation of risk measurement tools and systems.
• Support business units and address user inquiries.
• Monitor and report potential operational risks related to the tools/systems (user behavior, system errors, etc.).
• Adjust parameters of tools/systems (as authorized), modify or request modifications to tools and systems; test tools/systems after adjustments/modifications; document and archive all related materials.
• Identify, receive, aggregate, and resolve issues arising in the application of risk measurement models, tools, and systems.
• Propose solutions for:
  • Revising, upgrading, and developing risk quantification models, tools, and systems.
  • Amending related documentation.

4. Management of Unit Objectives

• Develop detailed plans, assign tasks, and monitor the progress of work implementation.
• Evaluate the performance of employees within the unit.
• Train and support the professional development of employees in the unit; participate in the adjunct faculty program as mobilized by the Training Center.
• Participate in recruitment efforts and build the team under management.
• Update, disseminate, guide, and assign staff to implement relevant institutional documents.
• Foster a professional, effective, and cohesive working environment within the unit.
• Report to direct leadership on:
  • The progress and quality of work.
  • Arising issues and solutions during the implementation process.

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Requirements

Professional Experience

• Minimum 5 years of experience in one or more of the following areas:
  • Credit Risk Model Development
  • Model Validation
  • Credit Risk Analysis
  • Data Science (AI/ML)
  • Quantitative Research and Statistics
  • Finance and Banking
• At least 2 years of experience in a managerial role.
• Vietnamese nationals only.

Education

• Bachelor’s degree in Finance, Economics, Banking, Mathematics, or related disciplines.
• Preference will be given to candidates with educational backgrounds in:
  • Financial Mathematics
  • Economic Mathematics
  • Econometrics
  • Mathematical Informatics
• Candidates with overseas education or a Master’s degree are preferred.

Knowledge & Technical Expertise

• Experience in Finance/Banking and Banking Risk Management.
• Strong understanding of Machine Learning applications in risk management.
• Solid knowledge of credit risk measurement methodologies and quantitative modeling techniques.

 

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If you receive any suspicious communication claiming to be from Manpower, please report it immediately to: [email protected]

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