Vice President - Counterparty Credit Risk - Model Validation

Description:

- Lead Independent Validation:

- Manage end-to-end validation of CCR models, including Monte Carlo exposure simulation engines, netting and collateral models, CVA/XVA pricing engines.

- Challenge modelling assumptions, mathematical frameworks, calibration, and stress testing approaches.

- Review model documentation, coding standards, and implementation testing (including independent replication or benchmarking as needed).

- Stakeholder Engagement:

- Communicate validation findings to model owners, governance committees, and senior management.

- Influence model risk policy and contribute to model governance frameworks.

- Documentation and Governance:

- Deliver high-quality model validation reports and executive summaries aligned with internal policy and regulatory guidance (e.g., Basel III, CRD IV, PRA SS 1/23).

- Ensure models are appropriately categorized and inventoried within the bank's Model Risk Management framework.

- Mentorship and Oversight:

- Provide technical guidance to junior validators and support their development.

- Lead peer reviews and contribute to continuous improvement of validation standards.

- Ongoing Monitoring and Risk Review:

- Periodic review of model performance and validation of model changes.

- Contribute to risk committees and raise controls on model limitations and assumptions.