Group Model Validation Team Leader recruitment
As a global function, the Group Model Validation conducts governance assessment and backtesting of Basel risk models of consumer products across the Bank's emerging market footprints. The Group Model Validation team primarily provide assurance to management of Basel II AIRB models are fit for use. Basel II AIRB models include Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD). As a Team Leader, you will be leading a team of 4 analysts.
Primary responsibilties would include: reviewing of model documentation, review of model design against the objective of model, conduct statistical tests and other analyses to assess models' performance and fit for use. You will also be responsible for assessing model against regulatory requirements and internal standards, interacting with model developers, regulators, and other stakeholders on validation issues. In addition, you will also be writing validation reports, prepare materials for Model Assessment Committee meetings and supervising and lead a team of analyst performing the above roles.
To be successful in this role, you need to have at least a Bachelors or Masters in quantitative discipline with at least 5-7 years of experience in quantitative analyst/ development capacity, preferably in a risk management environment. You need to have experience in building credit scoring and other credit risk models across a subset of Retail, SME or Wholesale products with Intermediate (or Advanced) Statistical and data management software skills - SAS, SQL, Excel, VBA, etc. You also need to be familiar with Basel II and local regulatory requirements.
In addition, you need to have strong written and verbal communication skills with the ability to work well in a team as well as with internal managers and external regulators. Your ability to work under pressure and meet tight deadlines are essential.