Assistant Vice President, Independent Model Validation

About Alliance Bank Malaysia Berhad

Alliance Bank Malaysia Berhad and its subsidiaries, Alliance Direct Marketing and Alliance Islamic Bank Berhad, offers banking and financial solutions through its Consumer, SME, Commercial, Corporate and Islamic banking. The Bank provides easy access to its broad base of customers throughout the country via multi-pronged delivery channels that include retail branches, Privilege Banking Centres, Business Centres, and Digital banking services.

We are currently seeking a high caliber professional to join our Group Independent Risk Assurance department under Group Risk Management division as an Assistant Vice President, Independent Model Validation.

The Role

A successful candidate in this position will be accountable for the following:

• Responsible for the implementation of operational risk management frameworks, tools and methodologies.
• Responsible for identification, review, monitoring and reporting of operational risk.
• Responsible for creating awareness on operational risk within the Group with the aim of strengthening operational risk management.

Job Description

• Conduct pre- and post-validation of risk models, with primary focus on Interest Rate Risk in Banking Book (IRRBB) Behavioural models, but not limited to other models (e.g. Retail / Non-retail Credit models, MFRS 9 PD / LGD / EAD / Forward-looking models, Climate/ESG models (where relevant), etc.) within the Bank to ascertain whether they are fit for purpose.
• Assist in formulating and providing input for the annual validation plan.
• Prepare comprehensive model validation reports in accordance with the Bank’s model risk management standards and internal model risk framework.
• Communicate findings/reports to the model developers; secure buy-in for recommendations, and monitor corrective actions taken to address identified gaps/issues.  
• Maintain proper documentation / audit trails, including model logs and relevant administrative / governance records.
• Support on-going technical research, including development/maintenance of analytical templates for data modelling and statistical tests, as well as to perform continuous learning of various risk modelling concepts/methodologies to improve robustness of validation performed.
• Perform regular reviews of relevant policies, procedures and frameworks to ensure that they remain up-to-date and compliant with the latest regulatory requirements and industry practices.
• Support and enhance the on-going quarterly model monitoring process and deck as part of the model risk management.

Job Requirements

Skills

• Strong quantitative skills in risk measurement and model validation, particularly in IRRBB behavioral models and interest rate sensitivity analysis.
• Strong analytical and problem-solving skills with aptitude for logic
• Adaptability and resourcefulness in navigating evolving regulatory landscapes and dynamic banking environments
• Effective communication skills, both written and verbal, to articulate technical findings to non-technical stakeholders and senior management
• Stakeholder management/engagement

Knowledge

• In-depth understanding of IRRBB models, including behavioral assumptions for non-maturing deposits, prepayment models, and EVE/NII measurement techniques
• Familiarity with Credit, Expected Credit Loss, Climate Risk Stress Testing, and pricing models
• Strong grasp of regulatory frameworks such as BNM Guidelines, FSA, Basel, MFRS 9, and IRB requirements
• Experience in data management and data mining for model validation and monitoring
• Proficient in SAS and SQL for data preparation and statistical analysis; working knowledge of R and Python is a plus

Experience

• In-depth understanding of IRRBB models, including behavioral assumptions for non-maturing deposits, prepayment models, and EVE/NII measurement techniques
• Familiarity with Credit, Expected Credit Loss, Climate Risk Stress Testing, and pricing models
• Strong grasp of regulatory frameworks such as BNM Guidelines, FSA, Basel, MFRS 9, and IRB requirements
• Experience in data management and data mining for model validation and monitoring
• Proficient in SAS and SQL for data preparation and statistical analysis; working knowledge of R and Python is a plus.