In as much as we take effort and due diligence to confirm the authenticity of the vacancies we post here, our methods are not fool proof. We urge you not to pay any money for any job promises. We take no responsibility for any loss of financial value. Please be cautious!
Manager Models Validation
A leading Financial Service Group
Applications are invited from suitably qualified, experienced, self-motivated and result oriented individuals, to fill the above position within a leading Finincial Service Group.
Specific Duties and responsibilities
- Lead and guide modelers on the scoping, design, development, validation and deployment/implementation of Basel II, Solvency II and IFRS 9 models and forecast for capital requirements.
- Ensure that models are IRB compliant and approved via Model governance processes to agreed timescales.
- Develop VaR Models to calculate monthly possible losses facing business units
- Assess model risk, deconstruct models to check their integrity, analyse model assumptions, assess model limitations, check codes, produce documentation and validate the model for use.
- Initiate the validation of Credit, Market and Operational risk VaR and Economic Capital models
- Liaise with the bank`s business units, modelling teams and Credit departments to ensure a consistent approach to the Basel framework across the bank
- Test and confirm model results by using documented procedures for running the models.
- Work with information technology staff modelling teams to determine model data integrity
- Stress test simulations on a frequent basis to effectively optimise risk in day-to-day decision making by respective business units
- Produce monthly and quarterly risk management reports that support risk monitoring and decision-making by EXCO, Heads of Department and the Board.
- Assist in preparation of Boards report for segments on a quarterly basis
- Initiate and undertake research for business development purposes and strengthen the risk management system.
Qualifications, experience, knowledge, Skills and Attributes
- 6 ‘O’ Level passes including English Language and Mathematics and obtained within no more than two sittings, preferably passed with a symbol ‘B’ or better and at least 2 ‘A’ level passes.
- Relevant recognised quantitative Degree such as Mathematics, statistics, operational research, economics, preferably at a postgraduate level.
- Minimum 3 years’ experience in Audit, Risk and or Relationship Management
- Previous experience in retail banking, consumer finance sector with at least 3 years’ experience in the development of risk models in retail banking, knowledge of Basel II and econometric modelling would be a clear advantage.
- Understanding of Basel II and credit, operational, and market risk in banking.
- Familiarity with rating models and be able to contribute to the development of financial models.
- Exposure with Advanced Internal Rating Based (AIRB) models, Risk weighted assets (RWAs),
- Economic Capital, Risk Adjusted Return on Capital (RAROC)/Return on Economic Capital (ROEC) and credit portfolio analysis.
- Ability to interpret and analyse credit risk drivers of Pillar 1 capital requirements.
- A solid understanding of the FSA, IASB, BCBS and other approaches to bank regulation particularly relating to credit risk and an understanding of quantitative and statistical modelling in essential