Model Risk Management
Job description
Our client, a leading digital bank is looking for a talented model risk validation individual to join their team. You will gain the exposure in overseeing the entire spectrum of model risk management activities related to quantitative models, algorithms and analytical tools. You will play a crucial role in ensuring the accuracy, integrity and regulatory compliance of our models, thereby safeguarding the bank against potential financial, operational and reputational risks.
Responsibilities:
To establish and maintain a robust model governance frameworks, policies, and procedures consistent with regulatory requirements and industry best practices. This includes documentation standards, model inventory management, and approval workflows.
To lead the model development and validation of all models used across various business functions, including credit risk, market risk, liquidity risk, fraud detection, pricing, and customer segmentation.
Conduct thorough assessments of model conceptual soundness, data quality, implementation accuracy, and performance via statistical testing
Provide guidance on model selection, development methodologies, and validation techniques.
Develop and implement risk mitigation strategies, such as model recalibration, scenario analysis, stress testing, and model limitations disclosure.
Requirements:
Bachelor’s/ Advanced (Master or higher) Degree in Statistics, Applied Mathematics, Operations Research, Economics, Engineering or other quantitative discipline.
Good understanding of retail banking/small business/consumer finance products and business lifecycle (e.g. sales, underwriting, portfolio management, marketing, collection etc.)
9 years’ in-depth experience in hands-on Statistical Modelling and/or model validation preferably in the retail banking space.
Proficient in statistical computing tolls and packages like SAS/R/SQL etc.
Strong analytical skills and understanding of quantitative and statistical techniques.
Experience in directly interacting with Business and exposure to international markets will be a plus.
Good understating of market risk measures, concepts and regulatory rules.
Good knowledge of MAS regulatory guideline and regulatory reporting requirement (eg. MAS759, MAS760, MAS610 etc)