Job Description

Manage and complete the model validation from end to end for new/ existing models in the bank, which covers: Qualitative review: underlying model assumptions and algorithms, i.e. supervised learning and unsupervised learning models, use of model & its interpretation; Quantitative review: hands-on in data validation/ assessment and perform statistical test; Review model documentation; Perform model stress testing; Ensuring the model is fit for use as per the Bank’s Model Risk Management framework; Collaborate with various stakeholders, e.g. Model Developer, Model Owner, Data Science team, model vendor etc, for model risk identification and assessment; Propose model risk mitigation solution and recommend improvements; Improve Model Risk Management framework to embed industry best practice; and Ensure the model validation standard meets regulatory guidelines/ requirements. Work effectively as a team member with other quantitative analysts in the Bank, as well as with external consultants. Validate IFRS9/ Basel models not limited to PD, LGD, EAD etc. Work with GXS Singapore counterparts to perform model FEAT assessment in accordance with MAS guideline. Synchronise with group-wide frameworks, processes (including modelling), tools and reporting which support the desired outcomes for risk modelling and capital optimization.

Job Requirements