Risk Modelling and Validation Manager

Key Responsibilities:

• Risk Modeling & Development: Collaborate with the Head of Corporate Risk Modeling to build and maintain industry-leading credit risk models complying with Basel and MFRS. Additionally, contribute to developing an ALM behavioral-based model for managing key risk ratios.
• Compliance & Documentation: Assist in preparing comprehensive model development documentation for regulatory submission and approval. Conduct User Acceptance Testing to ensure models function as intended.
• Performance Monitoring & Improvement: Generate model performance reports for management, analyze usage, and suggest updates based on insights. Continuously enhance model validation methodologies and techniques.
• Qualitative Validation: Review rating system processes, oversight, and controls to ensure proper application of quantitative methods. Assess model design documentation, data quality, governance, and internal rating usage.
• Quantitative Validation: Analyze model development evidence, outcome analysis, and back-testing data. Participate in independent validation of new/recalibrated models before implementation. Track and report progress on outstanding issues related to validated models.

Requirements:

• Education: Bachelor's degree (CS/IT, Math, or equivalent) or higher.
• Experience: 3 years in a related field, preferably Senior Level in Banking/Finance. Minimum 3 years of credit experience (risk management, model development, or validation) required.
• Business Knowledge: Good understanding of the relevant area's business products and operations. Preferably skilled in MFRS Retail, Basel II IRB and IFRS 9 Models.
• Technical Skills: Strong analytical and statistical modeling skills. Knowledge of relational databases, data models, and data handling/modeling programming. Preferably skilled in SAS.
• Communication: Good communication and writing skills.

**Only shortlisted candidate will be notified**