Associate - Treasury Model Validation

Associate - Treasury Model validation (CCR)

- Develop detailed knowledge and understanding of Internal Policies and Standards to assess Model risk - Validation Procedures, Validation Document, and Development Procedures etc.

- Develop detailed knowledge of Regulatory Model Validation policies

- Validate models - Check data quality, Model methodology, Model assumptions & limitations, Model conceptual soundness, Model implementation, Model risk analysis

- Ensure that the model meets its stated objective

- Create a challenging model to support Validation Results. Challenge the existing models

- Engage with model owners as well as business and development experts to ensure the liquidity positions are effectively challenged and model risk is properly addressed

- Ensure that Development documents follow standard procedures, where necessary show them direction on approach

- Create Model validation documents, get agreement from stakeholders on your conclusions

- Suggest list of actions to be taken to remediate the model risk where they exist

- Develop an independent view on the model methodology and challenge the assumptions where necessary.

- Work closely with Development team to understand their rational

- Maintain document repository in Model Database

- Perform Model Performance Monitoring

- This current role will look mainly into validation of Treasury models - for both Funding, Liquidity and cover all Items from on & off Balance sheet.

Mandatory :

- A degree in quantitative subject (e.g. Math, Engineering, Statistics, Economics with quantitative minor; or equivalent

- Basic understanding of Balance sheet items, ALM

- Relevant work experience, preferably in liquidity risk model development or model validation.

- Sound knowledge of treasury business, credit risk and credit rating models would be an asset.

- Basic understanding of Liquidity & Funding management

- Basic knowledge & understanding of the relevant regulatory landscape like Basel 3 requirements as they apply to liquidity risks, ILAAP, LCR, NSFR etc.

- Knowledge of Treasury instruments, relevant pricing models and both explicit and implicit embedded risks in them

- Experience with behavioural modelling

Basic exposure to a major programming language (e.g. python) and coding

- Highly organised in terms of documentation and follow through

- Ability to communicate and influence effectively

- Ability to organize & plan

- Good written communication in English

- Strong critical thinking skills and demonstrated ability to produce clear, concise written reports