Krungsri Bank (Bank of Ayudhya PCL.)

Job ID: BK-149571 | Location: Bangkok, Thailand
24 October 2019 Print Report Share

Krungsri Bank (Bank of Ayudhya PCL.)

Job ID: BK-149571 | Location: Yannawa, Bangkok, Thailand

Independent Model Validation (AVP-FAVP)

Job Description / Responsibilities:

  • Create and maintain Procedure for Credit Risk Model Validation standard to align with regulatory guideline.
  • Perform quantitative and qualitative validation of scorecard and IFRS9 models (PD,LGD,EAD) independently from model developer to ensure that the models are correctly as described in the technical model document
  • Prepare the validation reports and provide necessary recommendation to improve the model.
  • Communicate the model validation results to internal audiences including model owner, senior management, auditor and regulator.
  • Propose the summaries of model validation results for approval/acknowledgement.
  • Work with outsourcing vendor if any, for model validation.

Qualifications:

  • Master’s Degree major in relevant fields, including Statistics, Quantitative Financial Engineering, Applied Mathematics
  • Minimum 5+ years of relevant work experience in model development validation or model validation on credit risk models.
  • Knowledge in using SAS software is preferable, Willingness and ability to work both independently and as a team member.
  • Pior experience in independent model validation and knowledge of scorecard, Basel model and IFRS9 model is a plus.

Bank of Ayudhya Public Company Limited

1222 Rama III Rd., Bangpongpang, Yannawa, Bangkok 10120

Talent Acquisition Center 0-2296-6253

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Job Details:


At Bank of Ayudhya Public Company Limited, our products and services as well as our contemporary look have always been admired. We provide a full range of the highest value retail and corporate banking services enhanced and directed by our “More Than Banking” concept. We aim to improve the lifestyle of all our customers by responding to their complete range of financial needs. If you are ready to be part of the experience at BAY and take on a diversified role in a vibrant environment, here are some great opportunities for you to consider.

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