AVP - Climate Risk Model - BFS

Climate risk models

- Counterparty transition risk exp

- Need towards wholesale transition risk

- With model validation exp

- Sas/python

- Independently Validate & challenge models developed by first line of defense in accordance with MRM Policies & procedure

- Set policy, standards and guidelines for managing model risks;

- Provide advice and guidance to support those policies; and

- Review and challenge of the first line of defense model risk activities to provide assurance to the Model Risk Steward.

- Candidate should have experience of quantitative and qualitative research with focus on ESG and Climate Risk model validation. This covers ESG and Climate Risk models including Climate Change simulation models, counterparty-level transition & financial models, nature hazard models, physical risk models, climate scenario models, emission pathway models and ESG scorecards across various lines of business.

- Candidate should be able to assess model design, assumptions and limitations. Formulate independent opinions with respect to inherent model risks and implications in its use cases.

- A successful candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model. Candidates should have good communication skills and should be able to independently write good reports highlighting model risks for senior management. Person should be familiar with Python, R, SAS, SQL.