Description
IT Analyst Senior - Bank
Whitehall Resources are currently looking for a IT Analyst for a project with a leading bank in Stockholm, Sweden.
Description:
Improve Pillar 2 model documentation to meet increased model risk documentation requirements. Models cover credit, market and operational risk, for example concentration risk and DB pension risk.
The consultant is expected to collect the various model documentation requirements, produce an updated P2 model documentation template and populate it based on available, partly disorganised information as well as interviews.
The documentation to be produces should cover the sections below for 5 pillar 2 models, this as the bank's new model risk policy have increase the documentation requirements for pillar 2 models.
Most parts are available but are not well organized or need improvement. Biggest effort is needed to map data usage in models as well as documenting what testing has been done.
1) Materiality assessment, where relevant
2) Model Tier assessment
3) Technical documentation
- Rationale for the choice of the model approach, including a description and motivations of any assumptions. Furthermore, where relevant, comparison with alternative model approaches.
- Description of underlying methodologies, including theoretical results that are derived from assumptions.
- Model's intended use, limitations and scope.
- Details of the model's construction, assumptions and numerical techniques.
- Details of the model's calibration.
- Provide relevant data, including eg variable names, data sources and outputs
- A list of the model's input parameters.
- A list of proxies, if any, that are applied in the model.
4) Testing
- Description of the testing effort.
- Numerical details of implementation tests and analysis of the results against designed specifications of the model.
- For models with explicit reliance on a specified range of inputs, tests checking reasonableness and smoothness of model sensitivities to inputs and/or other applicable risk measures.
- Analysis of model behaviour under stressed market conditions, or argumentation for why such tests are not relevant.
- Test of calibration (for models calibrated to market inputs or historical data), including:
- List of calibrated parameters.
- Description of calibration target and data
- Demonstration of stability of calibrated parameters
- Backtest results, where relevant.
5) Description of model controls and monitoring
- Description of the control and monitoring activities that will be put in place around the model.
6) Process Description according to RDARR standard
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