Wholesale Model Validation Role - Financial Institution

Wholesale Model Validator

Key Responsibilities:

- Lead end-to-end development and validation of advanced credit risk models, including, PD, EAD, LGD and with emphasis on Expert judgement-based PD models for Corporate, Specialised Lending and Financial Institutions.

- Conduct comprehensive data preparation, preprocessing using tools including SAS, Python, R, and SQL

- Collaborate with cross-functional stakeholders to analyze, interpret, and communicate complex model results and insights

Develop comprehensive technical documentation including:

- Regulatory compliance Model documentation

- Test plans

- Validation reports/Findings Report

- Business Requirements Documents (BRD), where applicable

- Drive continuous model improvement through:

- Identifying optimization opportunities; Implementing advanced modeling techniques; Enhancing model performance and predictive accuracy

- Provide mentorship and technical guidance to junior team members, fostering a culture of knowledge sharing and professional development

Required Qualifications:

- 5-10 years of hands-on experience in credit risk model development and validation

- Proven expertise in modeling wholesale credit portfolios

- Advanced proficiency in: SAS, Python, R, SQL

- Deep understanding of IFRS9 and CECL regulatory frameworks and guidance

- Exceptional analytical and problem-solving skills

- Excellent written and verbal communication abilities

Preferred Qualifications:

- Advanced degree in Statistics, Mathematics, Economics, or related field

- Professional certifications in risk management or financial modeling

- Experience with IRB modeling, machine learning/advanced statistical modeling techniques

- Knowledge of Basel regulatory guidance

Technical Skills:

- Model Development: PD, LGD, EAD, Qualitative PD Models

- Programming: SAS, Python, R, SQL

- Regulatory Knowledge: IRB, IFRS9, CECL

- Statistical Modeling

- Data Preprocessing

- Machine Learning Techniques