Business Function Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.
Responsibilities The aim of the model validation team is to (1) limit the Bank's exposure to model risk by regularly validating all relevant models as mandated; (2) provide in-depth analysis and comments for Senior Management and (3) meet regulatory expectations in this regard.
As a team member of wholesale model validation, you will:
- Critically assess the development and performance of non-retail rating models (PD, LGD, EAD), including scoring /rating models used for capital computational purposes as mandated within the Bank.
- Contribute towards the assessment of inputs, assumptions and parameter estimates relating to the validation of the credit portfolio risk model, as well as credit stress testing models.
- Contribute towards developing strong professional relationship within and across validation teams as well with model developers.
- Ad-hoc project involvement.
Requirements - Degree holders with quantitative / statistics from a recognized university.
- At least 7 years of working experience in the banking and financial industry.
- The role is technical in nature, and the successful incumbent should be comfortable with handling large amount of data, have strong quant skills (including working knowledge of statistical/ database languages/software such as SAS, Access database, SQL, Excel & VBA.
- We welcome candidates with quant machine learning (R, Python) or modelling skills eg model developers.
- Self-motivated and a desire to learn and develop professionally.
- Contribute towards team-building and maintaining team morale.
- Reasonably good communication skills (both oral and written).
- Ability to work in a team and under pressure.
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We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.
