Senior Manager: Model Risk & Validation (Markets and CIB)
Thu, 1st March 2018
Fantastic opportunity to provide business critical independent validation of the models that dictate the bank’s capital provisioning and investments
About the business
This Australian bank is unique amongst its peers with a strong commitment to technological enablement, global presence and utilisation low latency solutions to drive sharper pricing and best execution practices for its clients.
The bank has a fantastic collaborative culture and the team works closely with colleagues across the bank’s financial markets, corporate & institutional and business banking units.
The bank highly values having a diverse and high performing team of people and the new ideas and experience they can bring to bare. Consequently, sponsorship and relocation assistance are available to overseas candidates and their immediate dependents.
About the role
This is a fantastic opportunity to join a leading bank in a role that provides business critical independent validation of the models that ultimately dictate the bank’s capital provisioning and investment decisions as well as regulatory compliance across the financial markets, corporate & institutional and business banking businesses.
The wider team covers the methodological / statistical / quantitative validation and governance of all non-retail banking models including all pricing functions and associated numerical solutions to these, algorithms for curve and surface construction and associated historical and stochastic simulation models across the markets and corporate banking businesses.
The opportunity also has a large project component allowing you to develop new skills and bring theories and research to bear in helping to create the future state of the bank’s non-retail businesses.
That includes: New Risk Weightings for new Segments as part of the bank’s strategic plan, API Calibration, development of reproducible code and commentary to generate analytics tooling, research and development of Wiesen latent class analysis for structural equation modelling.
The successful candidate will also be heavily involved in the on-going development and validation of all models related to on-going Basel 3 regulatory change (FRTB, SA-CCR etc.)
BAU Responsibilities include:
- Manage the methodological, statistical, quantitative validation and model risk of the models used to measure counterparty credit and market risk models including: Pricing, XVA, LGD, PD and EAD models as well as Credit Risk provisioning and risk-weighting models.
- Ensuring the scope of independent validation appropriately challenges a model’s scope of application, methodology, implementation, data used and its documentation.
- Present validation outcomes to committees, senior management, model owners and developers.
- Ensuring the model register, model change and issues logs and other model risk management infrastructure are maintained by you and your team.
- Manage the ongoing validation and monitoring of IFRS 9 Provisioning Models for go-live in October.
- Manage, develop and mentor your direct reports, contractors, secondment placements and risk graduate placements, etc.
Skills and experience
- Experience gained within another domestic bank or international IB within a similarly regulated jurisdiction e.g. UK, Singapore, Hong Kong etc.
- Proven non-retail credit risk modelling or model validation experience covering Internal Ratings Based Approach (IRB), provisioning and risk grading models.
- Excellent tertiary qualifications in actuarial, statistics, econometric or other related quantitative discipline.
- Excellent written and inter-personal communication skills, particularly the ability to explain complicated issues in an efficient and effective manner. You should have demonstrated an ability to communicate with influence.
- Experience with SME Banking IRB, stress testing and economic capital modelling is highly advantageous.
- Advanced knowledge of SAS, R, SQL, MATLAB, Python. Knowledge of version control software and clouding computing is highly advantageous.