Model Risk Management

Job Title: Assistant Vice President – Model Validation

Location:

Reporting To:

Position Type:

About the Role

AVP – Model Validation

Key Responsibilities

• Conduct independent initial and periodic validations of quantitative risk models (including derivatives pricing, market risk, credit risk, and capital models).
• Develop, prototype, and document challenger models for validation.
• Perform quantitative analysis of model assumptions, data, and outputs.
• Review model documentation and test the accuracy of numerical implementations.
• Ensure adherence to model governance policies and regulatory guidelines.
• Prepare comprehensive validation reports with clear recommendations.
• Track and verify remediation of identified model issues.

Required Experience & Skills

Experience

Essential:

• Prior experience in quantitative model development or validation in areas such as:
• Market Risk Models
• Counterparty Credit Risk Models
• Derivatives Pricing Models

Preferred:

• Exposure to:
• Regulatory/Economic Capital Models
• Corporate Credit Risk Models (e.g., IRB, PD/LGD/EAD)
• AI/ML Model Risk

Technical Skills

• Strong foundation in applied mathematics, probability theory, and statistics.
• Knowledge of financial products and their risk characteristics.
• Proficient in Python or R for model analysis and development.
• Familiarity with numerical methods and simulations.
• Awareness of current trends in financial modeling and risk management.

Additional/Preferred:

• Experience with C++ or C# is an added advantage.
• Understanding of regulatory capital frameworks for credit and market risk.

Education & Qualifications

• Postgraduate degree in a quantitative field such as:
• Statistics
• Mathematics
• Mathematical Finance
• Econometrics