Model Validation - Risk & Regulations

Role Definition:

Take the leadership role in building, developing and marketing the model validation practice across multiple risk domains, e.g., Credit risk, Market Risk, ALLL, Stress Testing models, and across several areas within Risk & Regulations.

Understand model validation requirements in details for each risk domain (credit risk, market risk, etc.)

Liaise with front-end teams to understand demand for this expertise. Work with cross-functional team to ensure that the proper business context and data requirements are met

Design validation reports for different types of models in consultation with operations teams working in the area and with a view to both growing and marketing the practice.

Help with the development and/or diffusion of related modeling practice, to enable comparison across approaches, etc.

Drive knowledge initiatives within the organization. Author white papers, drive applied research

Required competencies

Conceptual understanding of the data and methodology used for top regulatory models (e.g., PD/EAD/LGD models for credit risk, Value-at-Risk models for market risk, ALM & behavioral models for interest rate risk)

Knowledge of domain, products and related software to help with the development and diffusion of the required knowledge and expertise

Experience with risk policy and analytics in areas of loss mitigation, model development/validation, loss forecasting, Basel compliance, creating and executing stress testing scenarios, ALLL reporting, CCAR submissions

3 - 8 years of hands-on experience in risk modeling/segmentation, customer/prospect databases, customer behavior data and segmentation

Exposure to Moody's Risk Analyst (MRA) / RiskCalc, LossCalc, KMV models

Expertise or a good knowledge of the credit risk rating for various Asset Classes: Retail, Wholesale, Equity, Bank, Sovereign

Understanding of BCBS & SR 11/7 requirement in risk quantification & risk model validation & governance.

Proficiency working with large databases or data warehouses using SQL or OLAP query tools.

EDUCATION

MBA (Finance, Financial Engineering); MS in Statistics, Economics, Finance and other quantitative discipline. Certifications such as FRM, CFA preferred

For more details, please contact:

Nina Joy
080 39281680