Head of Policy & Quality Assurance

The purpose of the job is to manage model risk governance across all model family types within the group, as applicable. The job holder would be responsible for inventory consolidation, model health and risk assessment, and due tracking of external and internal model-related action items in coordination with various model owners across the group. As a 2.5 line of defense, the person is also expected to review the quality of model validation deliverables. The job profile requires stakeholder management at the execution level, and the person is expected to be an expert in stakeholder management. The role, in addition to technical expertise primarily in Credit Risk Area, requires working knowledge of key model families like Market Risk, Counterparty Credit Risk, and IRRBB.

KEY ACCOUNTABILITIES:

• Consolidation and reporting of Group Model Inventory. Reporting to be done to the Model Risk Management Committee in required form and content.
• Maintenance of Group Model Risk Policy; timely submissions of policies for renewal/upgrades.
• Quality control of Satellite model risk policies and procedures related to the development, monitoring, and validation of different models.
• Conducting technical working groups for Credit Risk models, preparation of minutes, and tracking of action items.
• Significant contribution to the implementation of the model risk governance platform leading to taking a role of functional ownership.
• Provide on-demand data and summarized meaningful analysis to senior management, development of discussion materials on market trends, and upcoming regulations for Risk Committees.

Desired Candidate Profile

Qualifications:

• Master's degree (M.S.) in quantitative fields (statistics, mathematics, economics) from a reputed university.
• Around 12+ years of relevant experience in successfully executing Model development and Model validation/Monitoring role. Prior exposure to Model Risk in comparable institutions is desirable.
• Strong quantitative and risk management experience in reputed banks/institutions.
• Demonstrated experience of working with/managing experienced modelling professionals, particularly in Model Development, Validation, and Monitoring.
• Strong statistical background is required. The candidate should have a complete understanding of all major statistical tests used for modelling, such as model stability, accuracy, and risk discrimination, and their consequent impact on the bank's risk profile.
• Sound knowledge of the latest Risk modelling regulations and regulatory expectations on Model Governance.
• Experience working with Audit and Regulatory teams.
• Hands-on model development & validation experience on decision models (Application, Behavior, and Collections) and Regulatory models (IFRS9 - PD, EAD, and LGD) is a plus.
• Excellent interpersonal & communication skills, both verbal and written.

Company Industry:

• Banking
• Broking

Department / Functional Area:

Keywords:

• Head Of Policy & Quality Assurance - Risk Validation