Model Validation Role - CCAR/PPNR - BFSI

Position Description

Model Risk Management's mission is to manage, independently and actively, model risk globally in line with the bank's risk appetite with responsibility for:

- Performing robust independent model validation

- Ensuring early and proactive identification of Model Risks

- Designing and recommending Model Risk Appetite

- Effectively managing and mitigating Model Risks

- Establishing Model Risk metrics

- Designing and implementing a strong Model Risk Management and governance

Position Specific Responsibilities and Accountabilities

- Assist in the validation of models and methodologies within a specific risk and/or model category (including Business / Pre-Provisional Net Revenues (B/PPNR) projection models as well as estimation approaches in Credit, Market, Operational, and Liquidity Risk among others)

- Assist in the compilation of detailed validation reports, follow-through on mitigation of validation findings and documentation thereof

- Develop understanding of subject-matter/technical expertise on model validation

- Develop understanding of regulatory compliance specific to SR11-7 guidance for model risk management

- Assist with adopting Model Risk policies into procedures and templates for model risk validation

People Management

Experience/ Exposure

- Data management and analysis skills with some experience in relevant software packages, e.g. MS Excel, MS Access, VBA, SQL, Matlab, R and SAS. Experience with additional programming languages is a plus, e.g. C++, Python

- Analytical with ability to solve specific problems independently and as part of a team

- Communication skills with ability to explain complex mathematical concepts in layman's terms

- Attention to detail and ability to ensure consistently high quality of work produced, self-motivated, fast and focused learner.

- A high degree of motivation and a focused approach are considered important, as is the ability to communicate in English (both written and spoken)

Education/ Qualifications

- The successful candidate is likely to have a degree in Mathematics, Physics, Engineering or Finance (or similar)