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Senior AVP, Model Validation IFRS9 Stress Testing (Credit Risk)

  • By Weronika Nowak
  • 26 November 2024
  • 54 Views

Company:

Join one of the world’s largest banking and financial services organisations! Our Client’s global businesses serve more than 40 million customers worldwide through a network that covers 64 countries and territories.

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About:

MRM are the second line of defence (2LoD) for Model Risk and the CMRO is the global Model Risk Steward for the group and is also accountable for the global operation of the MRM function. MRM teams are based in each region, to ensure local subject matter expertise and to guide, review, and challenge. MRM activity is managed on a global basis as many models are used in multiple locations. This enables MRM to operate consistently and efficiently globally, and to take account of additional local regulatory requirements.

Independent Model Validation provides an independent challenge of a model’s underlying theoretical assumptions and limitations, its practical implementation, its live application and business usage, providing stakeholders (including model users, senior management, audit and regulators) with assurance that models and tools developed, maintained and used within the company are fit for their intended purposes and are compliant with applicable internal and supervisory expectations. They will also review remediation plans and activities, undertake portfolio level reviews across model types and challenge the model owners on the appropriate application of relevant policy of models.

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What you’ll do:

  • Undertake model validation activities as dictated by the Global Model Risk Policy including the assessment of; model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model
  • Provide written reports detailing the results of validations highlighting issues identified during the validation
  • Validate remediation activities completed by the ILOD to ensure appropriate resolution of identified issues
  • Work with relevant stakeholders to support the embedding of new Global Model Risk Policies and Procedures
  • Provide coaching and guidance to new starters and junior colleagues
  • Deliver, high quality, timely validation reports that add value to the business
  • Liaise with 1LOD and other model stakeholders as appropriate to ensure issues have been adequately resolved
  • Communicate across technical quantitative, business, and strategic levels to ensure that stakeholders understand the implications of model risks and limitations.

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What you need to have:

  • Master’s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering
  • Knowledge in Wholesale Credit, Stress Testing and/or Front Office Modelling and IRB and/or IFRS9 regulatory requirements
  • Comprehensive knowledge of statistical model and scorecard development techniques
  • Knowledge of Risk models, performance metrics and risks and associated issues
  • Experience with some statistical modelling software / programming language e.g. SAS, Python, R, Matlab, C++, VBA
  • Experience of developing and reviewing models throughout the customer lifecycle
  • Experience of presenting recommendations to Senior Management
  • Experience of conducting independent model reviews.

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What they offer:

  • Annual performance-based bonus
  • Additional bonuses for recognition awards
  • Multisport card
  • Private medical care
  • Life insurance
  • One-time reimbursement of home office set-up (up to 800 PLN) and more
  • Corporate parties & events
  • CSR initiatives
  • Nursery and kindergarten discounts
  • Language classes
  • Professional training & courses
  • Financial support with training and education

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Note: Prepare your CV in English (PDF), fill in the form and apply! 🙂

Dotcommunity is registered in the Register of Employment Agencies (KRAZ) under number 9904.

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