Manager - Model Validation - Credit Risk Domain - Bank

RESPONSIBILITIES :

- Perform an independent validation of new and existing models that are used in credit risk management, capital calculation, stress testing etc.

- Qualitative review of model development process including underlying assumptions & theoretical basis.

- Quantitative assessment of model performance via data evaluation and statistical testing.

- Documentation of validation findings and communication of results to senior management and presentation to relevant committees.

- Coordination with internal stakeholders on model issues, achieving suitable resolutions.

- Manage and complete the model validation from end to end, meeting the planned timelines and required standards.

- Recommend improvements in the models.

- Review regulatory requirements and industry practice regarding the models.

- Assist Head of Model Validation in addressing concerns or questions relating to the models.

ROLE SPECIFIC TECHNICAL COMPETENCIES :

- Expertise in analytics, developing or validating statistical models within banking industry.

- Good understanding and experience in credit risk modelling, and/or stress testing analysis.

- Proficient in statistical and data analysis using data management and statistical software which includes SAS, R, Excel etc.

- Strong communication and project management skills.

- Strong focus on quality control and attention to detail.

- Knowledge of banking data and IT infrastructure, including data management and data quality control

- Effective presentation and business engagement skills at senior executive level.

QUALIFICATIONS:

- At least graduate level qualifications in statistics, banking, finance, econometrics, mathematics or related field.

- 7-10 years experience in quantitative modelling and/or model validation, with focus on the retail credit risk model development or validation

- Strong programming skill in SAS, R or Python

- Strong understanding of credit portfolio management process