Model Validation Manager

Kuala Lumpur, Malaysia

Job Description


Primary Objective: Perform and independently validate RHB Banking Group\'s models, rating systems and the estimation of risk components on a regular cycle to ensure: The Bank\'s implementations of Basel II IRB and IFRS 9 models for Credit Risk, IMA for Market Risk as well as AMA for Operational Risk are in accordance to the regulatory standards; Objectives, assumptions, risk factors and performance of the models remain consistent with their intent, construction and design; and Models and risk estimates remain predictive, stable and risk sensitive. Key Responsibilities: To review the adequacy and effectiveness of rating system processes, the oversight structure and control procedures to ensure the applicability and proper application of the quantitative methods in practice. The review covers model design / rating systems documentation, data quality, governance and control as well as internal use of rating (Qualitative Validation). To review model developmental evidence, outcome analysis and back-testing using the data gained during practical operations of the model while comparison or benchmark data can be included as a supplement (Quantitative Validation). To independently validate prior to implementation and adoption of the new / re-calibrated models for quality assurance. Supervise and perform tracking, monitoring and reporting progress on Outstanding Issues by relevant parties such as risk modeling, credit risk, business units, etc. pertaining to all validated models. Continuous enhancement of model validation methodologies or techniques. Requirements: Minimum of 3 years of credit experience in risk management or model development or model validation. Preferably with experiences in risk management. Good analytical skills. Good statistical modeling skills. Good communications and writing skills. Programming skills in SAS.

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Job Detail

  • Job Id
    JD984256
  • Industry
    Not mentioned
  • Total Positions
    1
  • Job Type:
    Full Time
  • Salary:
    Not mentioned
  • Employment Status
    Permanent
  • Job Location
    Kuala Lumpur, Malaysia
  • Education
    Not mentioned