Credit Risk Consultant

Responsibilities:

• Assist clients in credit risk model development, model implementation and model validation activities. These models include application / behavioral / collection / alternative credit scoring model; Basel related model for Probability of Default (“PD”), Loss Given Default (“LGD”) and Exposure at Default (“EAD”) model; IFRS 9 Expected Credit Loss (“ECL”) models; and stress testing model for various portfolios.
• Perform credit risk related data analytic i.e. data extraction and pre-processing, data cleansing, data transformation, data loading, etc.
• Perform advisory services to implement credit risk framework, system, monitoring and reporting for valued clients.
• Perform credit risk stress testing and climate risk stress testing.
• Develop and maintain productive working relationships with client personnel
• Build strong internal relationships within Advisory and across other services
• Develop business opportunities and potential openings with clients
• Handle multiple/simultaneous engagements 

Qualifications:

• Master’s degree in engineering, finance, economics, statistics, mathematics, actuarial science, operations research, physics or other relevant quantitative discipline from accredited college/university
• At least two years’ experience in the financial services related industry, preferably in a major bank, consultancy firm or regulatory agency
• Solid knowledge on statistical analysis, econometric modeling, scorecard development methods or machine learning techniques
• Demonstrable analytical tools and programming skillset e.g. SAS, Python, R, SQL, VBA, PowerBI, etc.
• Familiar with Basel and Bank of Thailand (“BOT”) requirement, IFRS 9, ICAAP and strong knowledge with credit risk management issues preferred
• Relevant professional qualifications such as CFA, FRM preferred
• Ambitious, self-driven and outspoken individual who can work under high-paced environment
• Proficiency in spoken and written English and native Thai and wish to work in MNC
• Strong written, communication and presentation capability
• Excellent analytical, problem solving and project management skills