Job No.: 492319 Employment Type: Full time Departments: Risk Management Department Job Functions: Risk Management
Job No.: 492319
Employment Type: Full time
Departments: Risk Management Department
Job Functions: Risk Management
Senior Model Validation Manager
- Evaluate performance of credit scorecards, PD/LGD/EAD models, or other credit risk models (e.g. portfolio risk stress testing, economic capital, IFRS9) across retail and non-retail exposures in accordance with regulatory requirements and best practices.
- Execute qualitative validation, including assessment of model development processes, underlying assumptions, applied theories, empirical evidences, potential limitations, implementation and use-test etc.
- Execute quantitative validation, including preparing validation datasets, identifying data quality issues, performing statistical tests from different performance dimensions.
- Manage validation process including planning and executing of project activities, coordinating and liaising with different parties in the Bank.
- Prepare reports and make recommendations to senior management or related stakeholders.
- Review policies and procedural guidelines regularly.
- MBA or Master with major in Finance, Economics, Statistics, Risk Management, Applied Mathematics, Management Science (Operations Research) or equivalent discipline. Ph.D. degree will be preferred.
- At least 6 years' working experience in model building, model validation, model application or similar analytics area in financial institutions, business sectors, or regulatory bodies.
- Proficiency in data analysis tools such as SAS, R or VBA.
- Candidates with experience in research w/ paper(s) publication will be an advantage
- Sophisticated analytic capacity and critical thinking.
- Good understanding of models in the area of market risk, interest rate risk or liquidity risk will be a plus.
- Self-motivated, willing to learn, detail-minded and with passion for analytics excellence.
- Effective communication and interpersonal skills.
- Excellent in both written and spoken English and Chinese.