VP- Model Validation

JD
candidate will get exposure to modeling in a wide variety of risk areas such as credit risk, market risk, operational risk etc.
Responsibilities
- Be expected to lead and manage independent validation reviews across a wide range of core Risk Capital or other business-impactful models used throughout the bank. Meeting business needs and regulatory expectations with responsibility for investigating key aspects of each model under review: choice of modelling approach, the underlying assumptions and associated limitations, performance and optimal use of the model, etc.
- Review, verify and validate risk models for theoretical soundness, testing design and identification of model weaknesses, ensuring ongoing monitoring as well as contribute in the firm-wide model risk and control assessment.
- Be expected to demonstrate independence in planning and stakeholder engagement, testing design and execution, results interpretation and presentation, and the production of documentation strong enough to evidence a sound challenge to both internal and external parties.
Looking for :
- Experience in data management and analysis or in Front Office IT would be an advantage.
- Good knowledge including programming experience of software applications such as R, Matlab, SQL and SAS.