Senior Manager of Model Validation
7 days ago
The Model Validation department is a critical component of ICBC Standard Bank's Risk Management division, serving as a second line of defense in the control structure.
As the Senior Manager of Model Validation, you will lead the validation process for all market risk models used in the bank, including Value-at-Risk (VaR) and Stress Value-at-Risk (SVaR) models, Risk-not-in-VaR models, data proxying models, interest rate risk models, economic capital models, and Fundamental Review of the Trading Book (FRTB) models.
Key Responsibilities:
- Provide guidance and mentorship to validation team members, particularly in the area of market risk models.
- Validate models from a conceptual soundness and implementation perspective.
- Write model validation reports that meet standards such as those required by SS 1/23 and follow up with stakeholders on identified modeling issues and model risk mitigants.
- Participate in the validation of models other than market risk models as required.
- Conduct validations with minimal supervision, adhering to internal standards, best practices, and regulatory expectations.
- Lead the delivery of market risk model validation aspects of projects and new product approval processes.
Model Risk Management:
- Develop and maintain standards for model validation and model risk management, incorporating best practices and regulations.
- Conduct model risk management processes, including model risk quantification and monitoring, and periodic validation.
Requirements:
- Excellent academic credentials, with a Master's or PhD degree or equivalent in a quantitative field.
- Advanced knowledge of quantitative methods, including financial mathematics and statistics.
- Expert knowledge of model validation and a good understanding of model risk management under PRA regulations.
- Good understanding of market risk management.
- Good high-level cross-asset class knowledge of traded products.
- Good coding skills, preferably in C++, and working knowledge of Excel.
- Experience with Murex as a booking and risk management tool is beneficial.
- Flexibility to adapt to changing day-to-day priorities while achieving longer-term project-based deadlines.
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