Founded in 1908, Bank of Communications Co., Ltd. (Stock Code: 3328) is one of the oldest banks in China, and also acted as one of the country’s banknote-issuing institutions. The bank was listed on the Stock Exchange of Hong Kong Limited and the Shanghai Stock Exchange in June 2005 and May 2007 respectively. At present, apart from Tibet, BOCOM comprises 30 provincial branches across provinces, municipalities and autonomous regions, plus a network of 2,637 operating locations in 173 cities and 112 counties nationwide. Beyond China, BOCOM has established overseas centers in Hong Kong, New York, San Francisco, Tokyo, Singapore, Seoul, Frankfurt, Macau, Ho Chi Minh City, and Sydney; one subsidiary bank in the U.K. and one representative office in Taipei. BOCOM’s development strategy is to become a first class listed universal banking group focusing on international expansion and specializing in wealth management.
- Validate and monitor IRB PD model for exposure to bank, corporate and retail.
- Implement IFRS9 PD/LGD/EAD model for impairment calculation.
- Stress testing for credit risk, counterparty credit risk, concentration risk, ICAAP and Recovery Plan according to Bank’s risk appetite.
- Degree holder or above with major in Mathematics, Statistics, Financial Engineering or related disciplines, with FRM or CFA qualification is an advantage
- Minimum 3 years’ relevant experience in banking or financial sector, with extensive and intensive knowledge on Basel and credit risk models
- Analytical experience on Basel modeling (PD, LGD, EAD etc)
- In-depth knowledge and understanding of statistical aspects (especially these which are used in Credit Risk-Basel modelling): Logistic Regression, PCA, Scorecard development; KS- statistics; Reject inference techniques; Data sampling and time series modelling approaches.
- Strong computing and programming skill such as SAS, VBA and Matlab is a must.