Description
The Client
Our client is a bank based in London and is looking for an Interim Senior Model Validator to work on an IRFS9 program for an initial period of 6 months.
The Interim Assignment:
You will be responsible for helping review methodologies for PD, EAD and LGD models across retail and corporate portfolios that demonstrate compliance with IFRS 9 rules.
This includes reviewing data, estimation methods, validation, systems, process and documentation as part of the internal and external approval process.
The Senior Validator will work in the team responsible for reviewing a variety of statistical models within Credit Risk including:
- Basel II Capital
- Stress Testing
- IFRS 9 Provisioning
- Profitability
- Validating a number of model development projects.
- Performing a detailed gap analysis of the IFRS 9 standards and regulatory guidance for model development.
- Defining interpretation of the guidance to senior stakeholders where required (as it relates to modelling) and helping consolidate feedback via the Team Head to the regulator via industry associations.
- Ensuring that the model output is sufficiently robust to withstand independent scrutiny and challenge by external regulators and audit.
- Ensuring that the model meets local and global governance standards and has been through the appropriate sign off criteria for the business unit prior to implementation.
The Interim Manager
You will have:
- Previous experience building/validating credit risk models, including knowledge of regulation, estimation and validation techniques relevant to compliance with IFRS 9.
- Strong analytical and problem solving skills.
- Advanced computer literacy, in particular SAS.
- Detailed knowledge of business strategies and credit industry products in either wholesale and/or retail markets.