Assistant Manager, Model Validation

Responsibilities

1. Undertake independent validation on the credit risk models including MFRS 9 models to ensure the applicability and proper application of quantitative methods and that the models comply with regulatory requirements/standards.
2. Review the applicability/relevant approaches to data handling, comprehensiveness of model documentation, proper governance, and model usage.
3. Perform quantitative assessment to measure model performance and determine its effectiveness in its intended use.
4. Independently challenge with critical analysis and identify the model limitations and assumptions and suggest appropriate recommendations/enhancements for refinement/rectification.
5. Effectively communicate on the validation findings/results to the stakeholders (e.g. business units/model developers/auditors).
6. Perform tracking on outstanding validation findings and report its progress on rectification.

Requirements

1. A recognised degree in statistics, mathematics, financial engineering or other related quantitative discipline with at least 3 years of related working experience, preferably in model development or model validation.
2. Excellent analytical, problem solving and quantitative skills.
3. Familiar with statistical techniques and tools; programming knowledge in SAS will be an added advantage.
4. Good communication and interpersonal skills.
5. Good writing skills.