Independent Model Validation

Alliance Bank Malaysia Berhad
Full Time

Job Description

Job Description

  1. Model Validation tasks
    • Assist with / involve in reviewing / validating risk models (e.g. Retail / Non-retail scorecards / models, PD / LGD / EAD models, liquidity models, market risk VaR, FRS 9 etc.) implemented within the Bank to ensure that they are fit for purpose
    • Preparing comprehensive model validation reports in accordance with the model risk management standards and internal model risk framework
    • Communicate findings / reports to the model developers and follow-up on the status of corrective actions taken to ensure that model gaps and issues are adequately addressed
    • Maintain proper documentation / audit trails, e.g. model log and relevant administrative / governance records
    • Assist with / involve in preparing / establishing model risk management standards and internal model risk framework / standard operating procedures to ensure that they are up-to-date and comply with necessary regulatory standards and industry best practices
    • Support the on-going technical research work such as developing / maintaining analytical template for data modeling and statistical tests, as well as to study in-depth various risk modeling concepts / methodologies, to improve robustness of validation performed
  2. RAROC
    • Produce management dashboards to measure and track the Bank’s Risk Adjusted Return on Capital (RAROC) and other risk adjusted performance measures (RAPM) against established benchmarks.
    • Provide analytic support to produce insights related to risk/capital charges and risk return of the Bank’s portfolios
    • Assist in enhancing the RAPM methodology (for both pre and post deal components) to improve the accuracy of the Bank’s RAPM measurement
  3. Risk Management tasks
    • Compiling Integrated Risk Management Dashboard for Group Risk Management Committee & Board of Directors meeting
    • Support other ad-hoc tasks

Job Requirement

  1. Skills
    • Quantitative skills in quantifying risk
    • Strong analytical and problem solving skills with aptitude for logic
    • Resourceful and adaptable in a changing environment
    • Effective written and verbal communication
    • Stakeholder management/engagement
  2. Knowledge
    • Knowledge in credit, ECL and pricing models
    • Knowledge of key regulations e.g. BNM Guidelines, FSA, Basel II, Basel III, MFRS, etc.
    • Familiarity with IRB requirements will be an advantage
    • Data management / data mining
    • SAS & SQL coding for data preparation and statistical analysis. R & Python will be an advantage.
  3. Experience
    • University Graduate with or Qualified Professional with at least 3 years experience in banking and financial industry, with exposure to statistics / mathematics / actuarial science / model validation.






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