Assistant Vice President, Independent Model Validation
Location:
Kuala Lumpur, MY, 50450
Category:
Permanent
Facility:
3412
- 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.