- Validate robustness of credit scorecards, PD/LGD/EAD models, and other risk models (e.g. portfolio concentration risk, stress testing, calculation of economic capital) across retail, corporate, financial institution and sovereign exposures in compliance with Basel II IRB regulatory requirements;
- Review model development and maintenance process, examine underlying assumptions, theories, empirical evidence and potential limitations, and assess implementation, user test and on-going use in key risk processes;
- Evaluate model performance from different dimensions, prepare validation datasets and perform statistical tests;
- Manage validation process, plan and execute project activities and coordinate with different parties within the Bank;
- Compose validation reports, document findings and make recommendations, and communicate the results to senior management and different stakeholders;
- Assist in periodic review of internal policies and procedural guidelines;
- Communicate with internal auditors and regulators;
- Support in ad hoc tasks as required.
- Degree or above, major in Finance, Economics, Statistics, Risk Management, Applied Mathematics, Management Science, Operations Research, Computer Science or relevant disciplines;
- Good business sense with logical thinking;
- Proficiency in data analysis tools such as SAS, R or VBA is preferred;
- Knowledge of risk model development / validation is definitely an advantage;
- Self-motivated, detail-minded and passionate;
- Good command of written English and Chinese.
- Candidates with more experience will be considered for Model Validation Manager