Lead/AM/Manager/Senior Manager - Model Validation/Monitoring - BFS

Model Validation/Monitoring-Lead AM/Manager/Senior Manager (2-8 years)

Job Description:

Roles & Responsibilities:

- Identifies and evaluates the risks inherent in the use of models both from a methodological and a global governance point of the model (input quality, modeling assumptions, quality and use of model outputs, existence, respect and relevance of the internal procedures relating to the model and its validation)

- Analyzes the relevance of the hypotheses used to construct the models, the choices and the methods of estimating the parameters, as well as the adequacy to the current economic and financial context ("back-testing"),

- Discusses the consistency and effectiveness of the risk management system in which the models are used and the steering decisions based on this use,

- Defines areas for improvement, formulates recommendations and contributes to the monitoring of their implementation

- Prepare high quality audit deliverables including working papers, finding sheets and audit reports and present the results to various levels of Internal Audit leadership, as well as the business organization.

- Maintain effective working relationship with key stakeholders responsible for modeling processes and model risk management

Required Skills:

- Bachelors or Master's in a quantitative discipline such as mathematics, statistics, operations research, physics, or economics.

- Having 2+ years of experience in development/ Validation regulatory (Basel 2) credit risk models

- Expertise in development or Validation of Credit risk models such as PD and LGD in the context of regulatory framework.

- Market/Credit/Traded risk models for various asset classes (VaR models, stressed VaR Models, Asset Pricing Models, FRTB Models, Margining Models)

- Credit Methodology models for wholesale, financial institutions (PD/LGD/EAD models, CECL, and counterparty credit risk models)

- Stress testing models as under CCAR (Balance Sheet forecasting, PPNR, loss forecasting, Scenario enrichment modeling etc.)

- Operational risk models including AML

- Strong Verbal Communication Skills