ob Details Risk Management: understanding all risks – from the economic to the political – that could affect our global business, and offering guidance to all parts of the bankJob PurposePerform initial and ongoing validations of credit risk and ROE models for both the retail and wholesale areas of the bank. Think critically and manage Model Risk for the aforementioned modelsKey Responsibilities/AccountabilitiesPerform initial and ongoing validation of internally and externally developed risk models used by either the retail or wholesale credit risk functions in the bank.The model types include Basel capital parameter models such probability of defaults (PD), loss given default (LGD), and exposure at default (EAD) models. Other model types are application scorecards, behavioural scorecard, credit impairment models (IAS39 & IFRS9), economic capital models stress testing models and ROE models.Review model development documentation of the model that needs to be validated.Review previous model validation reports for the model that needs to be validated.Formulate detailed understanding of the model specification and related data requirements.Source the model input data independently from the Model Development team.Replicate the preparation of data.Design and execute statistical tests to verify that the model works as designed.Where applicable, develop an independent model to use as the reference model.Collate validation results in a technical report.Make conclusions on the validation outcome of the model being validatedIdentify weaknesses in the model and formulate (for Model Development) appropriate recommendations that will address the identified model weaknesses.
Responsibilities + Skills
Determine which aspects of the model require more clarity.Arrange and attend meetings and discussions with Model Development.Formulate requirement for additional clarity, for example additional documentation on model specifications