The Model Validation Officer is primarily responsible in the execution and implementation of the risk management function and provide reasonable assurance and independent review of the use of existing as well as proposed risk models. The position augments the increasing use of more advanced quantitative models in the financial industry. Model risk has been identified as an emerging risk in recent years, and the use of models have received greater attention from industry, regulators, senior management, and the board. The position will support the Model Validation Section Head in ensuring the overall risk strategies and objectives of the Risk Management Office as directed by the Department Head, Division Head, Chief Risk Officer (CRO) and the Board through the Risk Management Committee (RMCom).
Duties And Responsibilities
- Risk Identification - Aims to identify possible sources of risks, inherent and/or emerging, which could possibly expose the Bank to unnecessary model risks and potential financial and/or non-financial losses.
- Risk Measurement - Perform independent model validation activities in accordance with established policies, standards and procedures, and work plans as approved by the CRO and the RMCom, taking into account the model owner and model user objectives for development and implementation, respectively; also taking into account the Bank's business strategy, level of tolerance and risk appetite for model risk. Propose and implement updates and introduce refinements in risk models validation metrics and tools, including (but not limited to) model performance measures, back-testing approaches, data scoping and requirements.
- Risk Reporting and Communication - Preparation of the independent validation reports in accordance with the model validation framework, for presentation to the model owner/s for alignment and communication of findings for remediation; and the preparation of the executive summary other relevant reports for the approval and/or notation of the Department Head, Division Head, Chief Risk Officer and the RMCom Board.
- Risk Monitoring and Control - Perform continuous monitoring of validation findings and corresponding remediation activities to ensure timely closure. Propose and implement updates and introduce refinements to existing monitoring tools.
- Ethical Standards and Professionalism - Ensure that the assigned activities are compliant with Company rules and regulations, regulatory requirements, and professional ethical standards.
- Strategic Support - As delegated, perform all functions of the Model Validation Section Head in his/her absence. Perform other tasks that may be assigned from time to time by the Department Head, Division Head, CRO and the RMCom.
Qualifications
- Basic quantitative background, particularly on statistical concepts, econometrics and/or risk analytics
- Programming and modelling skills in SAS or VBA is preferred
- 1 year of prior school or research work and/or experience related to predictive behavioral modelling, programming and/or statistical studies, particularly on credit and market risk
- Bachelor's Degree in Economics, Finance, Mathematics, Statistics, Engineering or Information Technology
- Preferably with graduate units in MS Finance/Computational Finance/Financial Engineering, Mathematics, or Statistics
