Data Scientist & Risk Model

Job Summary :

The role is responsible for development and monitoring credit risk analytics (MIS), across model life cycle, to support risk management function regulatory and business strategy of the bank. 

Role and Responsibilities / หน้าที่ความรับผิดชอบ : 

• Prepare and manage both internal and external data for model development, validation, periodic monitoring and implementation.
• Develop models using variety of techniques, both traditional approaches and machine learning techniques, with knowledge of programing languages including SAS and Python.
• Maintaining the quality of models such as credit scoring, machine learning models, Stress Testing, IFRS9 risk parameters (PD/LGD/EAD) for both retail and non-retail portfolios.
• Perform month-end IFRS9 risk parameter calculations and expected credit loss (ECL) calculations.
• Perform ad-hoc analysis for management or business units to support business operations and business decisions. 

Qualifications / คุณสมบัติ :

• Bachelor’s degree or higher in Economics, Finance, Engineering, Statistics, Computer Science or other any related fields.
• Newly Graduated or has related experience between 1-3 years. 

Specific knowledge and skill / ความรู้เฉพาะตำแหน่ง:

• Experience with statistical programming languages (e.g. SAS, Python).
• Experience in credit risk analytics, credit risk models, AIRB Basel/ IFRS9 Compliance is a plus.
• Accountable and result-oriented with strong analytical skills and problem-solving mindset.
• Good English skill and project management skills.