Model Governance & Validation

Vietnam Prosperity Commercial Joint Stock Bank (VPBank) is one of the leading banks in applying big data analysis and statistical modeling in decision making, business operations, and capital calculation. The Bank is currently looking for candidates for the position of Credit Risk Model Validation Intern/Contractor/Junior/Senior, working at Head Office (89 Lang Ha).

Job Description

Performing validation for models of the whole VPBank’s ecosystem:

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

Research & Study

• Developing challenge models against current models.
• Researching state-of-the-art techniques in model development (Machine Learning, AI …) to apply in models in banks.

Job Requirement 

Qualifications 

• Bachelor’s degree or higher.
• Strong background in mathematics, quantitative finance, banking.
• Knowledge in data science, data analysis is an advantage.
• Ability to research new model development methodologies.
• Bachelor or master’s degree in these fields in developed countries is an advantage.
• National or international prizes in natural science, model development or data mining is an advantage.
• Internationally recognized certificate of financial analysis, financial risk management, data analysis, data science (FRM, CFA, CPA ...) is an advantage.

Experience

• Prioritize candidates having experiences in banking and finance field, risk management, credit risk model development, credit portfolio analysis, data science.

Competence

• Logical thinking.
• Self-study, good research skills.
• Ability to synthesize and analyze.
• Ability to communicate and work in English.
• Ability to work independently and work in team.
• High responsibility in work.
• Be careful and meticulous in work.

Skills 

• 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.
• Good communication skills.

WHAT WE OFFER:

• Attractive income, competitive salary and bonus according to ability (16-18 month package)
• Bonus on Holidays and New Year (according to banking policy from time to time)
• Get preferential loans according to the bank's policy from time to time
• Attractive leave mode according to job rank (12-18 paid leaves/year)
• Compulsory insurance according to labor law & VPBank care insurance for employees depending on rank and working time
• Participate in training courses depending on the Training Framework for each position
• Working time: Monday - Friday & Saturday morning (two Saturday mornings/month off)
• Dynamic, friendly working environment with many opportunities for training, learning and development; participate in many interesting cultural activities (sports event, talents, teambuilding activities...)

• Job type : Permanent
• Salary: Competitive