Quantitative Risk Analyst
4 days ago
In Shopee's Regional Risk Modelling team, you will play a pivotal role in developing, implementing and maintaining credit risk, market/liquidity risk and other risk models such as anti-fraud and anti-money-laundering (AML), that align with the digital banks' risk management strategy. You will collaborate with cross-functional teams, utilizing your expertise in statistical and quantitative modeling, machine learning, programming, and financial analytics to develop risk models that enhance our ability to assess and manage various types of risks effectively.
Key Responsibilities:
- Design, develop and implement risk models such as application / behavioral / collection (ABC) scorecards, Expected Credit Loss (ECL) models, Interest Rate Risk in the Banking Book (IRRBB) models, Liquidity Gap Report, stress test models, etc.
- Utilize statistical and quantitative techniques, machine learning algorithms, and data analytics to enhance the predictive power and accuracy of risk models.
- Conduct thorough data analysis to identify key variables and market trends that impact credit, market and liquidity risks.
- Work closely with product managers and data owners to ensure the availability and quality of data required for model development.
- Code and implement risk models using programming languages such as Python, R, or other relevant languages.
- Collaborate with product managers and IT teams to integrate models into the organization's systems and ensure seamless execution.
- Perform ongoing validation and back-testing of risk models to ensure accuracy, relevance, and compliance with regulatory requirements.
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Quantitative Risk Analyst
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