AVP, Independent Model Validation

Job Responsibilities:

Model Validation

• Conduct pre- and post-validation of risk models, with primary focus on Interest Rate Risk in Banking Book (IRRBB) Behavioural models, but not limited to other models (e.g. Retail / Non-retail Credit models, MFRS 9 PD / LGD / EAD / Forward-looking models, Climate/ESG models (where relevant), etc.) within the Bank to ascertain whether they are fit for purpose.
• Assist in formulating and providing input for the annual validation plan.
• Prepare comprehensive model validation reports in accordance with the Bank's model risk management standards and internal model risk framework.
• Communicate findings/reports to the model developers; secure buy-in for recommendations, and monitor corrective actions taken to address identified gaps/issues.
• Maintain proper documentation / audit trails, including model logs and relevant administrative / governance records.
• Support on-going technical research, including development/maintenance of analytical templates for data modelling and statistical tests, as well as to perform continuous learning of various risk modelling concepts/methodologies to improve robustness of validation performed.
• Perform regular reviews of relevant policies, procedures and frameworks to ensure that they remain up-to-date and compliant with the latest regulatory requirements and industry practices.
• Support and enhance the on-going quarterly model monitoring process and deck as part of the model risk management.

Job Requirements

Skills

• Strong quantitative skills in risk measurement and model validation, particularly in IRRBB behavioral models and interest rate sensitivity analysis.
• Strong analytical and problem-solving skills with aptitude for logic
• Adaptability and resourcefulness in navigating evolving regulatory landscapes and dynamic banking environments
• Effective communication skills, both written and verbal, to articulate technical findings to non-technical stakeholders and senior management
• Stakeholder management/engagement

Knowledge

• In-depth understanding of IRRBB models, including behavioral assumptions for non-maturing deposits, prepayment models, and EVE/NII measurement techniques
• Familiarity with Credit, Expected Credit Loss, Climate Risk Stress Testing, and pricing models
• Strong grasp of regulatory frameworks such as BNM Guidelines, FSA, Basel, MFRS 9, and IRB requirements
• Experience in data management and data mining for model validation and monitoring
• Proficient in SAS and SQL for data preparation and statistical analysis; working knowledge of R and Python is a plus.

Experience

• University graduate or qualified professional with at least 5 years of experience in the banking or financial industry.
• Demonstrated exposure to model validation, risk analytics, or data management,
• Hands-on experience with IRRBB models and validation processes is highly desirable.
• Experience in preparing validation reports, engaging with model developers, and supporting governance and monitoring activities