Model Validation Role - Retail/Wholesale Banking

Model Validation - Retail / Wholesale

- Role will require closely working with the Enterprise Risk Analytics (ERA) team of our client (a large bank) which is responsible for developing and managing wholesale and retail IRB, IFRS 9 and stress testing credit risk models.

Key responsibilities include :

- Helping the bank with various aspects of the model development, model monitoring and enterprise risk analytics

- End-to-end development of risk models (IRB, IFRS9, Custom Scorecards, stress testing and others) and other risk analytics for wholesale / retail banking and small business lending portfolios.

- Coordinate with regulatory policy experts in finalizing the documentation template and items to be documented.

- Document the models as per PRA and SR 11-7 regulatory guidelines

- Support business implementation of Regulatory and Scoring models and providing analytical support to bank's businesses across the globe

- Develop summaries and documentation for PRA regulatory submissions. Depending upon the seniority represent the team for review/approval committees

- Masters /MBA degree in a quantitative discipline - Mathematics, Statistics, Economics, Physics, Financial Engineering, Finance. PhD will be a plus.

- Experience in model documentation, development, model validation or stress-testing

- Strong experience in end-to-end model development (PD, EAD, and LGD) cycle, from data gathering and cleansing to the documentation, presentations to key stakeholders and maintaining minutes of key decisions.

- Excellent knowledge of regulatory and risk management guidelines (e.g. Basel, EBA guidelines, IFRS9, Stress Testing, ECL etc.)

- Experience and proficiency in areas of statistics, applied mathematics; good understanding of wholesale and retail banking / small business / consumer finance products and business life-cycles

- Strong programming experience in more than one of the following - SAS, Python, R

- Excellent communication skills, both written and oral

- Analytical, Strategic and Conceptual thinking and Problem-solving skills

- Highly motivated, organized, attentive to details