About the role

AI summarised

The Model Validation Lead is a senior role in a bank's risk management function, responsible for leading the independent validation of quantitative models used for risk, pricing, and capital calculations. The role involves assessing model conceptual soundness, performing quantitative testing, and ensuring compliance with regulatory standards such as Basel and IFRS 9.

BusinessFull-timeGeneral

Key Responsibilities

Lead the independent validation of a wide range of models including credit risk, market risk, and treasury models.
Assess model conceptual soundness, assumptions, and limitations.
Perform quantitative testing including benchmarking, sensitivity analysis, and back-testing.
Review model documentation and ensure compliance with internal policies and regulatory requirements.
Communicate validation findings and recommendations to model owners and senior management.
Contribute to the development and enhancement of validation methodologies and standards.
Stay abreast of industry best practices and regulatory changes affecting model risk management.
Mentor junior team members and support their professional development.

Requirements

Master's degree or PhD in Finance, Economics, Mathematics, Statistics, Engineering, or a related quantitative field.
Minimum 8 years of experience in model validation, model development, or quantitative risk management within the financial services industry.
Strong knowledge of statistical modeling techniques (e.g., regression, time series, machine learning).
Proficiency in programming languages such as Python, R, or SQL.
In-depth understanding of regulatory frameworks including Basel III/IV and IFRS 9.
Excellent written and verbal communication skills, with the ability to present complex concepts to non-technical stakeholders.
Proven ability to manage multiple projects and work under tight deadlines.
CFA or FRM certification preferred.
Experience with credit risk, market risk, or treasury models is highly desirable.
Strong analytical and problem-solving skills with attention to detail.