Job Requirements
About the Role
The
Model Risk Analyst in the
Model Risk Management (Market Risk) team under the
Risk function is responsible for validating and enhancing the bank's risk models. This includes improving the accuracy, coverage, and automation of model validation processes, and independently validating statistical and mathematical models, particularly for retail lending scorecards. The role also involves supporting the validation of wholesale and market risk models, ensuring robust risk management practices across the organization.
Key Responsibilities
Primary Responsibilities
- Lead initiatives to enhance the accuracy, granularity, and coverage of existing model validation processes.
- Develop tools to automate model validation workflows and improve process efficiency.
- Independently perform statistical and mathematical model development or validation, with a focus on retail lending scorecards.
Secondary Responsibilities
- Conduct validation of wholesale rating models, including:
- Quantitative and qualitative testing
- PD calibration
- Discriminatory power analysis
- Sensitivity analysis
- Rating migration testing
- Validate market risk models such as:
- Derivative and fixed income valuations
- Bootstrapping
- Value at Risk (VaR)
- Sensitivity and capital charge models
- Interest rate and foreign exchange simulations
What We Are Looking For
Education
- Graduation: Bachelor's degree in a quantitative discipline such as Mathematics, Statistics, Engineering, Economics, or related fields
- Post-graduation: Master's degree or higher in a relevant field (preferred)
Experience
- Minimum 1 year of experience
- Relevant experience in model development or validation, particularly in retail lending, wholesale credit, or market risk models
Skills and Attributes
- Strong understanding of statistical and mathematical modeling techniques
- Proficiency in tools such as Python, R, SAS, or similar statistical software
- Familiarity with risk modeling frameworks and regulatory expectations
- Analytical mindset with attention to detail and problem-solving skills
- Ability to work independently and manage multiple validation projects
- Strong communication skills to present findings and recommendations effectively
