Independent Model Validation, Group Risk

2 weeks ago


Kuala Lumpur, Malaysia Grab Digital Bank Full time

An exciting Independent Model Validation, Group Risk job has just become available at a reputable financial services institution in Kuala Lumpur. You will drive the effective implementation of the Model Risk policy and recommend improvements.

**About the Independent Model Validation, Group Risk** **Role**:
You will be tasked to manage and complete the model validation from end to end for new/existing models in the bank.

**Key Responsibilities**:

- Qualitative review: underlying model assumptions and algorithms, e.g. supervised learning and unsupervised learning models, use of model and its interpretation
- Quantitative review: hands-on in data validation/assessment and perform statistical test
- Review model documentation
- Perform model stress testing
- Ensuring the model is fit for use as per the Bank’s Model Risk Management framework
- Collaborate with various stakeholders, e.g. Model Developer, Model Owner, Data Science team, model vendor etc, for model risk identification and assessment
- Propose model risk mitigation solution and recommend improvements
- Improve Model Risk Management framework to embed industry best practice. Ensure the model validation standard meets regulatory guidelines/requirements
- Validate IFRS9/Basel models not limited to PD, LGD, EAD etc.
- Synchronise with group-wide frameworks, processes (including modelling), tools and reporting which support the desired outcomes for risk modelling and capital optimisation

The successful Independent Model Validation, Group Risk is someone that works effectively as a team member with other quantitative analysts in the Bank, as well as with external consultants.

**Key Requirements**:

- Passionate in Data which includes ETL, analyse, and interpret data patterns within a complex data environment
- Well versed in credit modelling and/or data science techniques (AI/ML models) which includes hands-on model development and implementation
- At least two years' work experience in quantitative modelling, numerical simulation, and data analysis
- Team orientation and ability to work in a fast paced environment
- Strong quantitative problem solving skills. Advanced degree in a quantitative discipline such as statistics, data science, maths, physics, engineering, computer science, or financial engineering

This organisation are driven by their shared purpose and passion to bring positive transformation to the banking industry, starting with solutions that address the financial struggles of Malaysians and businesses.

If you are looking for opportunities for career advancement, this is the role for you. Great career progression opportunities await the right person in this Independent Model Validation, Group Risk job.

Agensi Pekerjaan Robert Walters Sdn Bhd
Business Registration Number : 729828-T
Licence Number : JTKSM 423C

An exciting Independent Model Validation, Group Risk job has just become available at a reputable financial services institution in Kuala Lumpur. You will drive the effective implementation of the Model Risk policy and recommend improvements.



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