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Model Validation Expert
2 months ago
We are seeking a highly skilled Model Validation Expert to join our team at Adway Associates. As a key member of our Model Risk Management team, you will play a critical role in ensuring the accuracy and reliability of our financial models.
Key Responsibilities:
- Support the Head of Model Validation in prioritizing and scheduling validation activities to ensure all models remain fit for purpose.
- Manage independent reviews across the model lifecycle, including new developments, model changes, periodic validations, ongoing monitoring, and implementation.
- Lead re-performance independent validation for material models, including partial or complete recoding, development or building of challenger models, data profiling, model and variable selection, back-testing, and stress testing.
- Document validation findings, provide insight and evaluation of weaknesses, and make recommendations for improvements.
- Present independent reviews to the Model Governance Committee or Model Technical Forum.
- Maintain knowledge of model risk and regulatory requirements and standards related to risk models.
- Engage regularly with senior colleagues across the organization to manage relationships, influence decision makers, and challenge constructively at a senior level.
- Carry out model risk management tasks with a view to the auditability of model assurance.
- Research statistical techniques to estimate model parameters, including volatilities of risk factors and their correlations, and to validate the use of appropriate proxies and fall-back parameters.
- Benchmark model components such as parameter estimation methods or pricing models to justify against alternative approaches.
- Promote a robust risk culture across the primary stakeholders and business.
- Monitor regulatory developments and ensure personal knowledge remains up to date.
- Support the Head of MRM to deliver model governance requirements across the organization.
About You
- Experience in modelling and/or validation for corporate, retail, and wholesale banking portfolios with a financial services organization, consulting firm, or analytic solutions provider.
- Ability to utilize experience and knowledge to make sound model judgments, taking into account model performance, regulation, and wider considerations such as complexity vs benefit, short vs long-term trade-offs, and resource prioritization.
- Hands-on experience in technical model development and implementation, model validation, and/or model oversight in one or more of the following areas: credit risk (retail and/or wholesale), PD/LGD/EAD estimations, IFRS9, operational risk, asset & liability management, Economic Capital, stress testing, sensitivities, time series modelling.
- Knowledge of relevant risk topics, including relevant regulations from PRA and ECB.
- Proficiency in SAS & Excel. Knowledge of other standard analytics softwares like R, Python, SAS Viya, etc would be desirable.
- Knowledge of banking business and associated risk management approaches sufficient to understand models in the context of the business.
- Effective relationship management, delivering successful business partnering whereby constructive challenge is undertaken in a timely and orderly fashion.
- Ability to communicate and influence on sophisticated issues, verbally and in writing (including model documentation), across all key partner groups.
- Track record of effective delivery and overcoming challenges to deliver business results.
- Has ethics and integrity at the heart of every decision, and creates an environment that encourages high performance, openness, honesty, and integrity.
- A numerate graduate degree (Level 6) or above from any reputed University
- Minimum 5 years of experience working in risk function either in model development or in model validation
- Good to have
- Experience in managing a team
