Risk Modeller
Our client, a global bank is looking to recruit a Risk Modeller into their risk management section. The role will primarily involve quantitative model validation of the retail credit risk models.
Key Responsibilities:
• Delivery of the Conceptual Validation in line with the identified model risk areas Understand and Challenge Data and Input Processing logic
• Understand and Challenge Design and Conceptual Soundness of the models
• Understand and Challenge Model Performance measures
• Understand and Challenge if the model meets External and Internal Requirements Understand and Challenge Implementation of the models
• Deliver Applied and if necessary Challenger Validation in line with the identified model risk areas
• Create and Execute Testing / Challenge on Data and Input Processing
• Re-run data processing activities
• Create and Execute Testing / Challenge on Design and Conceptual Soundness
• Re-run model development codes
• Replicate model development process if necessary
• Create and Execute Testing / Challenge on Model Performance measures
• Create and Execute Testing / Challenge on External and Internal Requirements
• Create and Execute Testing / Challenge on Implementation
• Build benchmark models to accelerate model validation and MRA assessment delivery time
• Continuously research and challenge the model development / validation methodology changes on the assigned model type
• Update internal methodologies, challenger approaches for group risk
• Improve validation infrastructure and toolset used for the specific model type validation
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