Vice President, Model Validation
Responsibilities:
- Establish and enhance model governance framework and related policies and procedures
- Evaluate conceptual soundness of internally or externally built risk models covering market risk, credit risk, climate risk, ICAAP and other stress testing, etc.
- Validate model assumptions, methodologies and associate parameters on recurring basis
- Conduct outcome analysis to determine accuracy and effectiveness of risk models
- Provide related records and documentations for internal and external reviews
- Participate in risk related projects and provide support to CRO office.
- Perform other ad hoc projects or assignments
Requirements:
- University degree in Statistics, Mathematics, Risk Management, Quantitative Finance or related disciplines
- Professional qualification in CFA, CPA, FRM and certification of ECF-CRM is preferred
- At least 8 years’ experience in risk model development/ validation, stress testing, and ICAAP/capital adequacy assessment in banking or consulting firms
- Proficiency in statistical software such as SAS, R, and Python is essential.
- Good understanding of banking risk management, and regulatory requirements for risk related reporting
- Strong in data and statistical analysis, able to work independently
- Good command of spoken and written English and Chinese including Putonghua
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