Manager, Model Validation

Found in: Talent MY C2 - 2 weeks ago

Kuala Lumpur, Malaysia Standard Chartered Bank Full time

Role Responsibilities

Support GMV senior manager in performing an independent validation of new and existing models that are used in risk management, capital calculation, stress testing etc. Qualitative review of model development process including underlying assumptions & theoretical basis. Quantitative assessment of model performance via data evaluation and statistical testing. Documentation of validation findings and communication of results to senior management and presentation to relevant committees. Review regulatory requirements and industry practice regarding the models. Assist Head of Model Validation in addressing concerns or questions relating to the models

Responsibilities

Validate the development document, development codes, generate performance metrics and write TVR as per the requirement Update the governance tracker Work with management for approval at appropriate committee Documentation of findings

Business

All the retail asset class

Processes

Model validation process

Risk Management

Review regulatory requirements and industry practice regarding the models. Assist Head of Model Validation in addressing concerns or questions relating to the models.

Governance

Submission of model validation reports to relevant Model Assessment Committee Attend Credit Model Assessment (where requested)

Regulatory & Business Conduct

Display exemplary conduct and live by the . Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct. Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.

Key stakeholders

Partners (Bank’s partnerships for acquisition) Group Retail Risk Country Risk Teams Group Internal Audit External Audit Regulators – HKMA, PRA, FSS, BNM, MAS etc. Model Risk Policy and Governance Group Operational Risk

Our Ideal Candidate

Strong technical and quantitative skills with academic background in Finance, Accounting, Engineering, Mathematics, Statistics or Econometrics Masters degree or higher qualification in a quantitative discipline, FRM and/or CFA qualifications are desirable Intermediate to advance level of SAS, including R and/or Python programming skills Solid experience in financial, economic and/or credit modelling with experience in corporate and institutional PD, LGD and EAD model validation or development; knowledge and experience in economic capital and loan impairments modelling are a plus Good communication skills Strong problem-solving skill with keen attention to details Multi-cultural awareness and sensitivity

Role Specific Technical Competencies

Expertise in analytics, developing or validating statistical models within banking industry. Experience in digital/online lending models/applications preferred. Good understanding and experience in credit risk modelling, and/or stress testing analysis. Expertise in machine learning techniques and algorithms (SVM, k-NN, Tree, Boosting( XgBoost, Ada, Light etc.), Bagging( Random Forest), Ensemble/Stacked models etc.) Proficient in statistical and data analysis using data management and statistical software which includes SAS, R, Python, Excel etc. Strong communication and project management skills. Strong focus on quality control and attention to detail. Knowledge of banking data and IT infrastructure, including data management and data quality control Effective presentation and business engagement skills at senior executive level.

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