Senior Specialist - Model Risk and Validation

5-7 years
a month ago
Job Description

Job Description:

1. Execute second-line validation activities for non-regulatory credit risk models and other non-credit models to ensure accuracy and reliability.

2. Oversee and enforce bank-wide compliance with the Model Risk Management Policy and associated Minimum Standard.

3. Manage and uphold a centralized, comprehensive inventory of all models within the Bank, maintaining detailed model documentation for reference and audit purposes.

Qualification:

1. Bachelor or Master Degree in a quantitative field such as Financial Engineering, Applied Finance/Statistics/ Mathematics, Economics, etc.

2. Minimum 5 years of relevant consulting type of experience combining risk management and quantitative modelling in the financial services (preferably within the banking sector).

3. Experience in development of credit risk models (vendor or in-house) for credit product such as Application model, Behaviour model or Collection model.

4. Fluency with software packages and demonstrated understanding of financial mathematical techniques, risk measures, statistics, applied mathematics, and/or finance with practical experience in using SAS.

5. Good general awareness of the full range of risks in financial services (both financial and nonfinancial) that make capable of understanding and analysing their combined impact on an entire organization.

6. Excellent analytical and synthesis sense and autonomous way of working.

7. Flexibility: multitasking, adapting to rapidly changing contexts and managing time appropriately, being able of working under pressure with tight deadlines keeping discipline to deliver qualitative outputs.

8. Capacity of building strong relationships with colleagues, bringing a positive and constructive mind and team spirit.

9. Proven track record of working in quantitative teams, with a high degree of independence and responsibility, in one of the following fields: credit risk, stress test and financial planning, corporate stress test, advanced analytics in nonfinancial risk.

10. Ability to communicate complex ideas effectively both verbally and in writing in English.

You will be given priority consideration if you meet the following qualifications:

11. Possess experience in Model Validation or Model Risk.

12. Demonstrate expertise in developing Marketing models, Market risk models, or other financial models like Propensity models.

13. Hold relevant experience in IFRS9 models and familiarity with prudential regulations, which is considered a significant asset.

14. Exhibit fluency in software packages and a demonstrated understanding of financial mathematical techniques, risk measures, statistics, applied mathematics, and/or finance, with practical experience in using tools such as Python or R.

JOB TYPE

Industry

Other

Function

Skills

SAS
quantitative modelling
R
financial mathematical techniques
IFRS9 models
risk measures
prudential regulations
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