Key skills / knowledge:
Has knowledge in Basel Internal Rating-based Approach (IRB) & the Standardized Approach of Credit Risk Weighted Assets (CRWA) and understanding of PD, EAD & LGD.
At least 7 years of experience in Banking/Finance related field, familiar with products offered in banks and the CRWA treatment.
Good command of Excel, Macro programming and SAS. SQL will be an added advantage.
Behaviors:
Proactive & can think out of the box.
Pleasant personality & easily approachable (being approached).
Able to work under tight timeline and under tremendous stress environment.
main responsibilities
Participate in the discussion group on Basel III Credit Risk in identifying the additional relevant fields required for Basel III CRWA computation.
Provide advice in interpreting the Basel III CRWA requirements and how to source the required fields for CRWA computation.
Prepare automation change request with business requirements documentation to bring in additional fields or logic changes to comply with Basel III the Standardized Approach and Internal Rating-based Approach.
Involvement in the user acceptance testing, including designing the test scripts, test scopes and test samples.
Perform credit RWA impact assessment as and when required.
Knowledge on SA-CCR is an added advantage.