About this role
Position Summary
We are a pioneering, licensed Malaysian digital bank in our foundational phase of operations, scaling rapidly across retail and non-retail segments with a mandate to serve Malaysia's unserved and underserved communities. We are seeking a hands-on, technically rigorous Financial Risk Modeller to strengthen our quantitative modelling capabilities across credit, liquidity, and capital risk. In this role, you will design and build models that directly underpin our Internal Capital Adequacy Assessment Process (ICAAP), internal liquidity risk management, and MFRS 9 credit risk provisioning. This is a high-impact individual contributor role with broad exposure — you will work closely with senior risk leaders, Finance, and Treasury to ensure our models are robust, well-documented, and regulatory-ready under the BNM Digital Banking Framework.
Key Responsibilities
1. ICAAP
• Design and build quantitative models for the Internal Capital Adequacy Assessment Process (ICAAP), including internal stress scenarios, capital projections, and sensitivity analyses calibrated to the Bank's capital framework Develop macroeconomic scenario frameworks and translate macro shocks into risk parameter movements (PD, LGD, EAD, NII, liquidity outflows) appropriate to the Bank's balance sheet and product mix.
• Prepare scenario narratives, model outputs, and summary reports for presentation to senior management, the Risk Management Committee, and regulatory bodies;Perform scenario analysis on Bank’s financial and risk exposures, for analysis and forward risk management planning purposes.
• Coordinate with Finance and Treasury to integrate model outputs into capital planning and internal capital adequacy assessments.
2. Scenario Analysis Modelling
• Develop framework, methodology, model for scenario analysis on Financial risk exposures with impact to key metrics of the bank.
• Perform regular and/or ad hoc scenario analysis for risk analysis.
3. Behavioural Liquidity Modelling
• Build and maintain behavioural models for the Bank's deposit books — including segmentation of deposits into core and non-core tranches, non-maturity deposit (NMD) modelling, and estimation of effective maturity and repricing behaviour.
• Model retail deposit runoff rates and withdrawal patterns Develop internal liquidity stress scenarios incorporating behavioural deposit assumptions and perform survival horizon analysis to stress-test the Bank's liquidity buffer against modelled outflows.
• Calibrate and periodically recalibrate all behavioural parameters; document assumptions, confidence intervals, and model limitations transparently for governance review.
• Support the Treasury Middle Office with model-based liquidity risk metrics and early warning indicators, translating behavioural model outputs into actionable limit monitoring.
3. Credit Risk Modelling
• Support the development and maintenance of credit risk model parameters — Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) — for MFRS 9 Expected Credit Loss (ECL) provisioning across retail, SME, and corporate lending portfolios.
• Assist in building and maintaining credit scorecards for Malaysia's , incorporating bureau data (CCRIS, CTOS) alongside alternative data sources; methodologies to include Weight of Evidence (WoE) / Information Value (IV) analysis, logistic regression, and champion/challenger validation frameworks.
• Perform model back-testing, sensitivity analysis, and periodic review to ensure parameters remain fit-for-purpose and within risk appetite; note that credit risk RWA for regulatory capital is computed under the Standardised Approach — PD/LGD/EAD models serve MFRS 9 provisioning and internal risk management purposes.
• Collaborate with the Credit Risk team on portfolio-level stress testing and integration of ECL model outputs with ICAAP capital assessments.
4. Model Governance & Documentation
• Produce comprehensive model documentation — model concept papers, technical specifications, and methodology write-ups — aligned with internal Model Risk Management standards and BNM supervisory expectations.
• Maintain version control, audit trails, and assumption logs for all model outputs to ensure reproducibility and traceability.
• Actively contribute to improving modelling standards, tools, and governance processes as the bank scales.
Requirements & Qualifications
Education & Experience
• Bachelor's or Master's degree in a quantitative discipline — Statistics, Mathematics, Actuarial Science, Finance, Economics, or Engineering.
• Experienced grad, up to 3 years of experience in financial risk modelling within banking, insurance, or a regulatory body.
• Demonstrated, hands-on experience in at least one of the following domains:
• Credit risk modelling: PD/LGD/EAD estimation, scorecards, ECL / MFRS 9 provisioning; familiarity with Malaysian credit bureaus (CCRIS, CTOS) is a strong advantage.
• Liquidity risk modelling: behavioural deposit modelling (NMD, core/non-core segmentation, runoff rates), liquidity stress testing, survival horizon analysis.
• Capital modelling: ICAAP, internal capital adequacy scenario analysis, Standardised Approach RWA computation.
• Professional certifications in Financial Risk Management (FRM) or Chartered Financial Analyst (CFA) are highly advantageous.
Hard Skills & Competencies
• Advanced proficiency in Microsoft Excel — you must be able to build rigorous, well-structured quantitative models from scratch in Excel. VBA is a plus.
• Programming skills in Python or R for data analysis, model development, statistical testing, and automation are strongly preferred.
• Familiarity with SQL for data extraction, transformation, and ad hoc analytical queries.
JR00000610