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
Solid communication skills to present findings and recommendations effectively