Website Black Turtle
Job Title: Associate Director, MRM Validation
Key Responsibilities:
– Independently execute end-to-end model validations as dictated by the Global Model Risk Policy. This includes assessing model inputs, calculations, reporting outputs, conceptual soundness, data relevance, qualitative information, documentation, and implementation.
– Design, develop, and execute tailored testing frameworks to identify risks and limitations. Develop and implement advanced validation methodologies and tools to enhance process efficiency and effectiveness.
– Ensure the execution of model validation projects within the functional stream, guaranteeing timely delivery and high-quality work. Contribute to the continuous improvement of validation processes and suggest enhancements.
– Lead discussions with model developers and business owners regarding validation outcomes, issues, and remediation actions, effectively defending validation conclusions when necessary.
– Guide interactions with Group Internal Audit regarding model-related audits, MSIIs, and audit issues.
– Participate in strategic initiatives and proactively suggest improvements. Collaborate with senior managers to plan, prioritize, and deliver model risk management activities aligned with business goals while maintaining second-line independence.
– Guide the Global Model Risk Steward by ensuring potential model risk issues, risk appetite impacts, and audit findings are appropriately managed and escalated.
– Prepare and deliver model risk management opinions and papers for senior governance forums, including Executive Management and Board committees.
– Provide model users, senior management, audit, and regulators with confidence that models are compliant with internal and regulatory expectations and fit for purpose.
– Approve decisions, reports, and remediation activities within the model lifecycle as a delegate of the Global Model Risk Steward.
– Ensure enterprise-wide risk model review policies are communicated, understood, and embedded by stakeholders. Participate in engagements with Regulators to demonstrate robust independent challenge of models.
– Contribute to management, regulatory, and external confidence in all models.
– Provide functional leadership for a team of Model Risk Management colleagues across geographies. Provide support, guidance, and coaching to team members.
– Ensure the effective implementation of Model Risk Management processes and methodologies.
– Complete portfolio-level reviews to ensure consistency in the application of the model risk policy.
Requirements:
Education: Bachelor’s or Master’s degree (PhD advantageous) in a quantitative field (e.g., Mathematics, Statistics, Physics, Engineering, Financial Engineering). CQF/FRM/PRM certifications welcomed.
Domain Experience: Traded Risk, Pricing Risk, or Counterparty Risk. Specific experience with:
1. Market risk VaR, FRTB, and Value at Risk models (Greek-based or Full Revaluation).
2. PFE modelling for XVA and Cross Value Adjustment (XVA) modelling.
3. Incremental Risk Charge (IRC) models.
4. Pricing (Derivatives/Product Control) and hedging models across asset classes (Interest Rate, FX, Equity).
Technical Skills:
– Stochastic calculus, Numerical methods, Probability theory, Regression, Time series analysis.
– Numerical Methods (Lattice-Based, Simulation-Based (MC), and Analytical-Based (PDE)).
– Black Scholes, Binomial and Trinomial models, Hull White.
Regulatory Knowledge: Strong understanding of regulatory requirements (e.g., PRA, OCC/FRB, EBA, HKMA, UAE). Excellent knowledge of Risk models and performance metrics.
Leadership: Proven ability to manage and motivate a team. Extensive experience in leading and supervising model validation.
Programming: Excellent skills in advanced programming languages (e.g., Python, SAS, C++, Java). Experience with code-based document production (LaTeX/XML/MSWord) and AI-driven coding tools (e.g., Claude Code, GitHub Copilot, ChatGPT).
Soft Skills: Deep understanding of financial products and markets. Ability to manage model risk across a large complex banking group. Experience managing multiple senior stakeholder relationships. Ability to operate and influence within a changing regulatory environment.
Risk Culture: Commitment to fostering a positive risk-aware culture and adhering to the Three Lines of Defence framework.
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