AVP Model Validation

Locus Enterprises
  • Mumbai
  • 15-25 lakh
  • 2-7 years
  • 06 Feb 2015

  • Business Analytics

  • Banking - Retail
Job Description

Responsible for design of pan-bank Model Risk Management Framework such as Model Risk Management policy, governance structure and risk management processes.
Responsible for all key model risk areas including the preparation/maintenance of pan-bank model inventory, design of model validation calendar, model risk monitoring, model validation (pre-approval as well as periodical validation post roll out), developmental evidence, model validation documentation, and management of model issues, model exceptions, model validation MIS reporting, and other key model risk processes.
Responsible for conducting quantitative analytics and complex modelling projects for Enterprise Risk Management such as Economic Capital, aggregation of Economic Capital models, integrated Stress testing etc.
Develop and implement model validation process (qualitative and quantitative) for existing and new models on an on-going basis.
Support and Prepare, document, and remediation activities associated with model risk related committees, internal audits or regulatory reviews.
Clearly and concisely document and communicate validation findings. Present and effectively support findings to model developers, users and senior management.
Develop and prioritize constructive recommendations for model changes or enhancements.
Communicates data quality and completeness concerns to model owners.
Contribute to the development and promotion of effective model development, use and validation practices within the Bank.
Develop automated solutions to routine validations in order to gain efficiencies in the validation process.
Update model inventory of all models utilized by company across multiple lines of business including credit (wholesale & retail), market risk, Operational Risk, interest rate, risk ratings, economic capital, capital market valuation, credit risk parameters, pricing & profitability, loan loss reserves, and measurement of other risk types such as Pillar-II risks.
Coordinate and conduct model validation processes and monitors adherence to internal policies, procedures and regulatory guidelines.
Makes recommendations for revisions as needed to model risk program documentation.
Collaborates and interacts with management, model owners/users throughout the Bank and with third-party model validation providers, including addressing model issues and remediation actions.
Analyze and challenge data used in model development to ensure relevance & appropriateness for model use
Develop and execute model test plans and complete scope of validation testing processes
Write/modify validation scripts
Benchmark models to external vendor models
Analyze model weaknesses, model risks, model limitations, validation issues, etc. to make model validation recommendations
Performs other related job duties and special projects as assigned.
Must be a post-graduate in quantitative field: Finance, Economics (with technical knowhow of Statistics & Mathematics) or a related discipline
Minimum Experience
Total Experience: 2 7 Years in Banking /Financial Risk Consultancies. Model Validation Experience: 3 4 Years
Functional Skills
Good understanding of RBI guidelines such as Master circulars on Risk Management, Basel-II and Basel-III, BASEL circulars on Models Creation & Validation.
Good understanding of model development and validation methodologies, policies, procedures & processes along with associated business processes in credit, market portfolio management.
Hands-on experience in working on statistical tools
Hands-on experience of Economic Capital & RAROC Model Validation
Hands-on experience of Model Validation for Credit or Market or Operational Risk. Hands-on experience of econometric models macro and micro
Experience in scorecard development/validation of retail portfolio.
Experience of valuation, pricing, yield curve model validation
Must be able to extract data from various systems for model validation.
Must have hands-on experience of MS Office Word, Powerpoint, Excel, Access, Project, Visio, Excel VBA programming including MS Access programming, Programming in R, SAS, SPSS
Management Skills
Strong inter-personal, communication and presentation skills with the ability to write and present technical papers/documents in a clear, cogent manner to a wide range of audiences (both technical and non-technical)
Build strong working relationships with key model stakeholders, in particular model developers, users, internal audit. Facilitate communication between model validation team and other stakeholders, including model owner.
Excellent understanding of usage of models in the business decision making process and implications to financial statements and risk measurement.
Excellent problem solving and project management capabilities

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Locus Enterprises