1. Developing Model Validation Framework and relevant internal policies and guidance, model validation methodology documentations covering qualitative and quantitative approaches. Performing overall model validation as an independent model validator, for models including but not limited to:
Credit risk models for customer scoring, debt collection, fraud detection, and compliance with international standards such as Basel II (for AIRB and FIRB) and IFRS9.
Liquidity risk models owned by the Bank’s Risk Management Division serving the following purposes: business decisions, management, liquidity reporting and compliance with international standards.
Market risks and Counterparty risk models of the Risk Management Division.
Other risk models and business models of VPBank or of member companies of VPBank (FE Credit, OPES, …), following the Board of Management or the Chief Risk Officer’s inquiries
2. Identifying reasons, factors impacting models (if any) and proposing proper recommendations to address the issues
3. Performing Model Risk Management, periodically assessing and reporting model risk exposures, while simultaneously developing procedures, tools and IT infrastructure system essential for monitoring, supervision and assessment of impacts of model risk
Job Requirement
Bachelor’s degree or higher. Bachelor's or master's degree in these fields in developed countries is an advantage
Background in mathematics, quantitative finance, banking
Prioritize candidates having experiences in banking and finance field, risk management, credit risk model development, credit portfolio analysis, data science
Proficiency in Microsoft Office: Presentation Making (Power Point), Professional Documentation (Word).
Prioritize candidates have ability to use programming software such as VBA, SQL, SAS, Python, R, or other statistics tools
Internationally recognized certificate of financial analysis, financial risk management, data analysis, data science (FRM, CFA, CPA …) is an advantage
Good communication skills, good at English
BENEFITS:
Professional training from specialists in model development.
Have the opportunity to work with structured, standardized, abundant, and comprehensive data sources in banking industry.
Competitive salary and bonus package (13-th salary & KPI bonus).
Preferential loan with special interest rates.
Insurance in accordance with Labor laws + VPBank Care insurance for all employees (insurance covered for family members for entitled employees).
