Expert, Model Risk Management

1 week ago

Hanoi, Hanoi, Vietnam Techcombank Full time

29 May 2024
Expert, Model Risk Management :

  • Category: Risk Management Division
  • Job Type:
  • Facility: Risk Management
    Job Purpose:
  • The primary responsibility of this role is to discover and diagnose modeling related risks including input data, assumption, concept, methodology, process and implementation through validation activities. The team is also responsible to opine on the model strength and weakness and recommend practical solutions.
  • Assists in the creation and maintenance of the policies, standards, guidelines, and procedures required to implement the Bank's model risk management framework that covers model and computational tool identification and classification, model development and testing, model documentation, model validation, and model performance monitoring.

Key Accountabilities (1):

General Responsibilities:
a. Strictly follow the Techcombank's labor regulations
b. Perform work in accordance with Techcobmank's regulations
c. Comply with the work arrangement and training of Techcombank and the Unit
d. Perform tasks at the request of direct managers and upper management

Key Accountabilities (2):

Professional Responsibilities:
a

Model validation:

  • Thoroughly and comprehensively review model development documents and model codes as well as conduct quantitative validation tests to identify sources of model risk.
  • Discover and diagnose modeling related risks including input data, assumption, concept, methodology, process and implementation
  • Present works through formal validation reports, as well as thorough presentations to senior management.
  • Discuss validation results with model owners/developers and governance team to gain consensus and create strategies to implement changes and enhancements.
  • Provide different view on methodology and calculations, and provide feedback to model developers.
  • Support the model validation team to mitigate the model risks.
  • Utilize express mode validation for new model development, facing legal and compliance related modeling issues, quick model fixes, etc.
b

Model Risk Governance:

  • Contribute to the development and deployment of the Model Risk Management Framework at the bank.
  • Provide support in maintaining the bank model discovery and model inventory.
  • Maintain compliance with applicable rules, regulations, and expectations set by regulators for model risk management as the bank's model landscape grows and becomes more complex.
  • Communicate and escalate matters of significant model risk to senior leaders and business unit managers.
  • Assist Model Risk Governance in developing model risk education and delivering education to model stakeholders.
c. Other duties as required by management leadership

  • Build strong working relationship with key model stakeholders

Success Profile - Qualification and Experiences:

Experience:

  • At least 5 years of work/research experience in relevant field (Finance, Technology, etc.).
  • Prior experience in model development and validation a plus.

Expertise:

  • Advanced skill level with SQL/SAS/Python/R
  • Trained or experienced in probability/statistics, data mining, data analysis, big data, machine learning,...
  • Knowledge in Basel/IFRS9 models a plus.

Degree/Professional:
Advanced Degree

Specify:
Master's Degree in Statistics, Econometrics, Mathematics, Finance, Operations Research, or equivalent.
Foreign language (English): minimum TOEIC 600 or equivalent

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