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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