Job Responsibility 

• Ensure that appropriate processes, policies and procedures are in place that meets Basel – Pillar 1,2,3 requirements imposed by regulators.
• Evaluate impact of changes in regulations, strategy or IRB models on capital requirement and profitability (revenue, credit loss, and operation cost) of the portfolio. 
• Advice Business Units on credit capital treatment for new products and/or structured deal.
• Collaborate with CIMB Group and Business Units of CIMB Thai to set Risk Appetite Statement, Risk Posture, Risk Appetite and seek approval from respective management/committees.
• Collaborate and co-ordinate with value chain to improve efficiency of capital usage – various options in calculating of Risk Weighted Assets (RWA) to achieve optimal benefit for the bank and financial group in terms of capital management and treatment and propose initiatives with impact analysis to respective management / committees.
• Perform analysis on Risk Weighted Assets (RWA) and Capital adequacy ratios to be submitted to BOT and BNM. Monitor, analyze and report movement of Risk Weighted Assets (RWA) and Capital adequacy ratios.
• Collaborate with Data Management to do SIT / UAT to ensure data transferred to CIMB Group for RWA calculation at Group level meet Bank Negara of Malaysia (BNM) requirements and produce the RWA result correctly.
• Be Risk Management’s representative to attend the meeting held by Bank of Thailand or Basel Club (Basel Working Group of all Thai Commercial Banks) in order to address, provide impact analysis of the changes/ new Basel requirements with respect to regulatory and capital risks and report progress and/or issues to relevant parties and respective management / committees as required.
• Conduct stress testing including facilitate and coordinate with relevant parties and calculate non-retail credit risk stress test for the reports to be submitted to BOT and BNM, and investigate issues on non-retail data used in the calculation of RWA and capital ratios. Seek approval on stress testing assumptions and results from Board of Directors prior to submission to BOT within timeline. Collaborate with other business units:
• Co-ordinate and engage various departments for information and input to prepare ICAAP/Pillar 3 disclosure report and seek approval on ICAAP report from Board of Directors prior to submission to BOT within timeline. 
• Collborate with Data Management team to investigate issues on data used in the calculation of RWA and capital ratios.
• Collaborate with Sustainability Team and Climate Risk Team to ensure that all assumptions (e.g. climate scenarios) and Climate stress testing methodology meet BOT requirements.
• Work with finance to prepare Basel Reports for submission to regulators.
• Perform any other duties as and when assigned.

Qualification

• Bachelor degree or higher in a numerate discipline including finance, banking, risk management
• Certified CFA or FRM (preferred)
• At least 10 years related experience e.g. credit risk data analytics, portfolio management, capital adequacy analysis, profit-loss analysis, RaROC, RWA and ECL calculation
• at least 3 years of experience in ICAAP reporting, credit RWA calculation (SA and IRB), and stress testing
• At least 2-year experience in data analysis, database management, MIS, or/and dashboard design and management is a plus
• Quantitative skills e.g. data analytics, RWA calculation and analysis
• Critical and creative thinking skills
• Change management skills e.g. adaptability to change, collaboration and strategic planning
• Database management, MIS, and dashboard design and management
• Competency with BI and presentation tools e.g. Tableau
• SAS, SQL, Python or other programming language is a plus
• Knowledge on financial statement analysis and regulatory requirements imposed by BOT, BNM and Basel

Remark: The Bank requires the verification of criminal records prior consideration for employment to ensure secured and maintain standards of the organization.