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Specialist: Model Validation

Job Ref
273482
Job Type
Permanent
Employer Type
Recruitment Agency
Date Added 28 Apr 2017
Expiry Date 12 Jun 2017
* There has been 1 application to this job.
* This job has been viewed 2430 times.
Employer:
Datacentrix

Location:
South Africa

Salary:
Negotiable

Benefits:


Role details:
Our client Provides world classagricultural finance to the agricultural industry. They are currently looking to employ aSpecialist: Model Validation
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Main Purpose of theJob             
Manages theindependent review and validation of the models that mitigate the credit risk covering calculationpricing, credit assessment, impairments, calculation of capital and liquidity management within theBank.
 
Key PerformanceAreas               

Designs and manages the process of independent review andvalidation of Bank pricing, IRB credit, IFRS 9 impairment, market risk and liquidity risk modelsthat mitigates the key strategic pricing and credit risks faced by the bank as per best practicerisk management policies and model governance protocols.

Designs an effectivesystematic, disciplined approach to evaluate and improve processes and procedures for the validationof key Bank pricing, IRB credit, IFRS 9 impairment models, market risk and liquidity riskmodels.

Designs, manages and updates the Model Governance Framework and relatedpolicies in relation to pricing, IRB credit, IFRS 9 impairment, models, market risk and liquidityrisk models.


 

Manages the implementation of a robust model governanceframework and contribute to the promotion of effective model development, implementation and use inthe bank.

Ensures that all the Bank pricing, IRB credit and IFRS 9 impairment,market risk and liquidity risk models conform to relevant international and domestic regulations andlegislation.

Manages and provide oversight over the implementation and monitoringof a model risk and control assessment (RCA) matrix including managing the resolution of riskissues.

Liaise and assists Bank management on areas that require improvement ininternal controls and the related regulatory environment by considering business objectives in theassociated economic environment.


 

Manages the validation of the implementation and use of theBank models across the business so as to produce model output reports that enable comparison to keycompetitors.

Reviews the pricing, IRB credit, IFRS 9 impairment, market risk andliquidity risk models development methodology implemented for reasonableness and applicability tothe Bank’s agricultural development focused business model.

Analysis therobustness of the Bank’s data repository and storage systems so as to give assurance onquality of the model's input data and related controls

Standardises the datacleaning process so as to ensure use of comparable datasets through time.

Performsquantitative tests and qualitative assessments of the pricing, IRB credit, IFRS 9 impairment model,market risk and liquidity risk models and oversee the governance of subjective qualitative inputfrom all stakeholders in the model building phase.

Manages stakeholders to projectthe image of risk management in the business and to enable alignment of business strategy andprocesses to model use and outputs.

Defines and agree with Bank’s managementareas where the Bank needs to improve controls so as to mitigate significant risks throughassessment of pricing, IRB credit, IFRS 9 impairment, market risk and liquidity risk models, modeloutput reports.

Determines and agrees with the Bank’s management parametersin pricing, IRB credit, IFRS 9 impairment, market risk and liquidity risk models that need to berefined so as to give model outputs that best measure the risks of the business.

Determines and agrees with the Bank’s management databases and data management systems,processes and policies that require improvement so as to help mitigate key business risks.

Ensures that pricing, IRB credit, IFRS 9 impairment, market risk and liquidity risk modeloutputs are used to improve business processes and that pricing, IRB credit, IFRS 9 impairment,market risk and liquidity risk models reflect the improved business processes in credit assessment,pricing, impairments and collections.

Ensures that value adding model outputs areintegrated in business decisions to enable sustainability of the Bank’s business.


 

Provides consulting services to the business on model related issues and conduct research to keepup to date with latest developments in model development, model implementation and model use in theindustry.

Provides advice on improvement of business processes based on modeloutputs and assist with implementation of improvements while taking cognizance of segregation ofduties as per the Bank’s three lines of Defence model.

Provides advice onresolution of control inadequacy or ineffectiveness and with implementation of resolutions whiletaking cognizance of segregation of duties as per the Bank’s three lines of Defence model.

Performs an advisory service beyond providing an assurance service to assistmanagement in meeting its business goals.

Provides relevant model risk training toensure that the Bank’s management and model based risk committees are adequately equipped tounderstand the key model weaknesses and provide effective challenge to model development, modelimplementation and model use issues and reports as per regulatory and bank internal riskrequirements.


 
 
 
 
 
 
 
 
 
Preferred Minimum Education and Experience

Relevant 4 yeartertiary qualification (B Com Hon or similar)

Minimum 5 to 10 years withincredit/market risk model development and validation of risk and/or financial models

5 – 10 years exposure to Basel Committee on Banking Supervision related risk management andquantification.

5 – 10 years exposure or experience in quantitativecalculation of credit risk, market risk and use of the outputs for credit assessment, impairments,pricing, capital management and liquidity management.

5 -10 years exposure to useof model output parameters in a financial services environment preferably in specializedlending.


 
CriticalCompetencies
AdvancedMicrosoft Office
Programmingessentials (any language)
SAS
Business Acumen(financial Services)
FinancialAccounting Principles
Marketrisk principles
Additional Requirements
Required to work overtime
If you fit this profile, please load your CV on the Datacentrixwebsite. To view more of Datacentrix IT jobs, go to www.datacentrix.co.za and click on‘Search Jobs'




 
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