Model Risk Validation Manager

4 days ago


Kuala Lumpur, Kuala Lumpur, Malaysia Michael Page Full time
  • Global MNC
  • Rewarding Benefits

About Our Client

A Leading Global Bank.

Job Description

  1. Subject-matter-expert concerning all aspects of climate risk modelling (both physical risk and transition risk) and the use of climate risk models for credit risk and financial stress testing.
  2. Perform an independent validation of the climate risk models used in risk management, capital calculation, stress testing, etc.
  3. Qualitative review of model development process including underlying assumptions and theoretical basis.
  4. Quantitative assessment of model performance via data evaluation and statistical testing.
  5. Documentation of validation findings and communication of results to senior management and presentation to relevant committees.
  6. Maintenance of Climate Risk model family standards (with focus on model validation process and criteria) to ensure that the validation standards remain appropriate and in line with industry practices.
  7. Coordination with internal stakeholders on model issues, achieving suitable resolutions.
  8. Manage and complete the model validation from end to end, meeting the planned timelines and required standards.
  9. Review regulatory requirements and industry practice regarding the models.
  10. Assist Head of Model Validation in addressing concerns or questions relating to the climate risk models.

Governance

  1. Submission of model validation reports to relevant Model Assessment Committee.
  2. Attend Model Assessment Committee where the report is being presented for approval.

The Successful Applicant

Skills and Experience

  1. Expertise in analytics, developing or validating statistical models within banking industry.
  2. Good understanding and experience in modelling, and/or stress testing analysis.
  3. Proficient in statistical and data analysis using data management and statistical software which includes SAS, R, Excel etc.
  4. Strong communication and project management skills.
  5. Strong focus on quality control and attention to detail.
  6. Knowledge of banking data and IT infrastructure, including data management and data quality control.

Qualifications

  1. At least graduate level qualifications in actuarial science, statistics, banking, finance, econometrics, mathematics or related quantitative field.
  2. Experience in developing or validating quantitative models in areas related to climate risk.
  3. Solid understanding of application of climate risk models, climate science and the key issues that surrounds climate risk areas.
  4. Subject-matter-expert concerning climate risk modelling and the use of climate risk models for credit risk and financial stress testing.
  5. Strong programming skills (Python, R, SAS, SQL, VBA, etc.).
  6. Postgraduate degree (or equivalent) in maths, statistics, finance, quantitative analysis or related quantitative field.

What's on Offer

  1. A comprehensive Total Rewards Program including performance based bonuses, flexible benefits, and competitive compensation.
  2. Leaders who support your development through coaching and managing opportunities.
  3. A world-class training program in financial services.
  4. A collaborative dynamic culture where personal initiative and hard work are recognized and rewarded.
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