Credit / Counterparty Risk Model Validation Manager
- Apr 28, 2021
Global bank seeks a Model Validation manager validation of credit rating models, LGD models, counterparty credit exposure models
The Model Validation department is part of the Bank's Risk division. The team is responsible for
validating quantitative models as part of the independent model validation process. The risk
department acts as a second line of defence in the control structure.
The successful candidate will report to the Head of Model Validation. The purpose of the role is to act
as the second line of defence on Model Risk and to validate the models used in the Bank. This team
is responsible for performing model validation and model review for a wide range of pricing and risk
Responsibilities for this role include the validation of credit rating models, LGD models, counterparty
credit exposure models and CVA pricing models.
Model Validation focused on credit and counterparty risk models
Validate credit rating models, LGD models, counterparty credit exposure models and
CVA pricing models
Validate the models from a mathematical and implementation perspective. Review the
applicability (i.e. the strengths, weaknesses, model assumptions and limitations) of the
Document model validation testing and findings to a high standard and follow up with
stakeholders on identified modelling issues.
Develop the capability to communicate and interact with the different relevant
stakeholders and oversight bodies, e.g. front office, risk department, regulators, and
internal and external auditors.
Conduct validations with a minimal amount of supervision in line with regulatory
Participate in the relevant technical committees and present model validation documents.
Conduct model risk management processes including model risk monitoring and ongoing
and periodic validation.
Establish a strong working relationship with the front office and the risk function.
Provide stakeholders with answers to day-to-day requests while preserving long term
objectives and regular schedule review.
Preferred Qualifications and Experience
Excellent academic credentials. Masters or PhD degree in a quantitative field are required
Extensive knowledge of and experience in developing or validating credit risk models
(PD, LGD, PFE and CVA models).
Experience in all aspects of model development or validation including market data, data
extraction, data transformation, modular benchmark model development, model
Advanced knowledge of quantitative methods such as statistics, stochastic processes,
Monte-Carlo simulation and econometrics.
A good high-level cross asset class product knowledge
Knowledge of accounting standards relevant for credit risk (IFRS 9) and Basel credit risk
Good working experience in Excel and coding experience, with preferably R or Matlab.
Experience with Adaptiv Analytics for PFE modelling and C++ coding would be beneficial.
Good written and verbal communication skills; ability to work independently.
Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving
longer term project based deadlines.
Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative. BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.