Model Validation Specialist
6 days ago
Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.
Responsibilities
- Critically assess the development and performance of all credit risk models related to the Retail portfolios. This includes application scorecards, behavioural scorecards, PD, EAD and LGD models used for capital computational purposes as mandated within the Bank.
- Contribute towards the assessment of inputs, assumptions and parameter estimates relating to the validation of Retail credit risk models, as well as models for stress testing.
- Ensure compliance with Basel II and Basel III requirements, as well as local regulatory requirements
- Maintain validation standards to ensure that they meet regulatory expectations having regard to business constraints - such as data and systems and its implications with respect to modelling and parameterization processes.
- Provide well-considered validations reports that clearly articulate findings and recommendations
- Participate in priority initiatives for the team/department, in particular undertake research to upgrade the team/department's statistical tools, techniques and methodologies.
- Conduct experimentation with alternative analytics techniques (including machine learning) for benchmarking in-use credit risk models
- Coordinate with MV data analytics team in finding solutions for the validation needs of the team such as, but not limited to, sourcing of input data used in the model, providing requirements in automating data-feeds to the system data repository, designing dashboards for model performance monitoring, supporting and testing enhancements on validation platform
- Contribute towards developing strong professional relationship within and across validation teams as well with model developers
- Degree in quantitative discipline, such as Statistics, Mathematics, Quantitative Finance, Data Analytics, or equivalent.
- At least 8 years of experience in model development/validation.
- Outstanding quantitative skills (including working knowledge of statistical/database languages/software such as Python, R, SQL, Excel, & VBA).
- Knowledgeable in dashboard tools such as Tableau is an advantage.
- Strong leadership abilities and is self-motivated.
- Excellent communication skills (both oral and written).
- Sound knowledge of Basel II, Basel III, and local regulatory requirements.
- Strong understanding of business requirements and evolving industry practice.
- Innovative with research mindset.
- Able to contribute towards team building and maintaining team morale.
- Ability to work in a team and under pressure.
We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.
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