Head Of Risk (Credit Risk, Modelling)

Salary: Upto 4,000 USD

Location: Ha Noi

Job Description

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 (i) revising/upgrading/developing risk quantification models, tools, and systems; (ii) 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 (i) the progress and quality of work, (ii) arising issues and solutions during the implementation process.

Required qualifications

·       Bachelor's degree in Finance, Economics, Banking, or Mathematics

·       Prefer candidates who:

§  Graduated in relevant specialized fields such as Financial Mathematics, Economic Mathematics, Econometrics, or Mathematical Informatics.

§  Studied abroad or hold a Master's degree.

Required languages

·       Proficient in English for business communication.

Required working experience

·       At least 5 years in developing credit risk models/model validation/credit risk analysis, data scientist (AI ML)/ quantitative research and statistics, or in Finance/Banking, with at least 2 years in a managerial role.

·       Experience in Finance/Banking, Banking Risk Management, and a good understanding of Machine Learning.

·       Familiar with working in an Agile Model environment.

Required knowledge and skills

·       Vietnamese only, no expats.

·       Knowledge of credit risk model development and credit risk management, including counterparty credit risk.

·       Understanding of Basel II regulations.

·       Familiarity with policies/regulations/processes within the unit: Well-versed in internal policy processes as well as legal regulations.

·       Candidate willing to work in a fast pace Fintech, eager to make it reach the market-peak also being Unicorn in 2029.