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Company Overview
A leading financial services group in Asia, committed to shaping the future of banking. With a focus on innovation and customer-centricity, the company leverages technology to deliver seamless and intelligent banking experiences. Its robust risk management framework and dedication to regulatory compliance underpin its sustainable growth and position as a trusted partner.
Job Title: Specialist, Model Validation, Risk Management Group
Responsibilities
Critically assess the development and performance of all credit risk models related to the Retail portfolios. This encompasses application scorecards, behavioural scorecards, PD, EAD, and LGD models utilized for capital computational purposes as mandated within the Bank.
Contribute towards the evaluation of inputs, assumptions, and parameter estimates pertaining to the validation of Retail credit risk models, as well as models employed for stress testing.
Ensure adherence to Basel II and Basel III requirements, alongside local regulatory stipulations.
Maintain validation standards to ensure alignment with regulatory expectations, considering business constraints such as data and systems and their implications for modelling and parameterization processes.
Produce well-reasoned validation reports that clearly articulate findings and recommendations.
Participate in key initiatives for the team/department, specifically undertaking research to enhance the team/department’s statistical tools, techniques, and methodologies.
Conduct experimentation with alternative analytics techniques (including machine learning) for benchmarking in-use credit risk models.
Coordinate with the Model Validation data analytics team to identify solutions for the validation needs of the team, including but not limited to, sourcing input data used in the model, providing requirements for automating data feeds to the system data repository, designing dashboards for model performance monitoring, and supporting and testing enhancements on the validation platform.
Contribute to fostering strong professional relationships within and across validation teams, as well as with model developers.
Requirements
Degree in a quantitative discipline, such as Statistics, Mathematics, Quantitative Finance, Data Analytics, or an equivalent field.
At least 8 years of experience in model development or validation.
Outstanding quantitative skills, including practical knowledge of statistical/database languages/software such as Python, R, SQL, Excel, and VBA.
Knowledge of dashboard tools such as Tableau is advantageous.
Strong leadership abilities and self-motivation.
Excellent communication skills, both oral and written.
Sound knowledge of Basel II, Basel III, and local regulatory requirements.
Strong understanding of business requirements and evolving industry practices.
Innovative with a research-oriented mindset.
Able to contribute to team building and maintaining team morale.
Ability to work effectively in a team and under pressure.
Disclaimer
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