AVP/Snr Assoc, Specialist - Retail Model Validation, Risk Management Group

Business Function Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure. Job Summary The aim of the model validation team is to:

• Limit the Bank's exposure to model risk by regularly validating all relevant models as mandated
• Provide in-depth analysis and comments for Senior Management
• Meet regulatory expectations in this regard

• Critically assess the development and performance of all credit risk models related to the Retail portfolios. This includes application scorecards, behavioural scorecards, PD, EAD and LGD models used for capital computational purposes as mandated within the Bank
• Contribute towards the assessment of inputs, assumptions and parameter estimates relating to the validation of Retail credit risk models, as well as models for stress testing
• Ensure compliance with Basel II and Basel III requirements, as well as local regulatory requirements
• Maintain validation standards to ensure that they meet regulatory expectations having regard to business constraints - such as data and systems and its implications with respect to modelling and parameterization processes
• Provide well-considered validations reports that clearly articulate findings and recommendations
• Contribute towards developing strong professional relationship within and across validation teams as well with model developers

• Degree in a quantitative discipline, such as Statistics, Mathematics, Quantitative Finance, Data Analytics or equivalent
• 3-5 years of risk modelling or validation experience
• Outstanding quantitative skills (including working knowledge of statistical/ database languages/software such as Python, R, SQL, Excel & VBA)
• Intellectual curiosity, self-motivation, innovation and love of problem-solving
• Able to contribute towards team-building and maintaining team morale
• Reasonably good communication skills (both oral and written)
• Reasonable understanding of Basel II, Basel III and local regulatory requirements
• Reasonable understanding of business requirements and evolving industry practice.
• Ability to work in a team and under pressure