Senior Manager, Pricing Model Validation

at  ICBC Standard Bank

DIVISION SUMMARY

The Model Validation department is part of the Bank’s Risk division. The team is responsible for validating quantitative models as part of the independent model validation process. The risk department acts as a second line of defence in the control structure

PREFERRED QUALIFICATIONS AND EXPERIENCE:

Excellent academic credentials. Masters or PhD degree or equivalent in a quantitative field are required.
Advanced knowledge of quantitative methods such as financial mathematics and statistics.
Expert knowledge of model validation and a good understanding of model risk management under PRA regulations are required.
Expert knowledge of historical VaR, RNiV modelling and proxy modelling is required.
Experience with banking book modelling (IRRBB models) and economic capital modelling is desirable.
Good understanding of market risk management.
Good high-level cross asset class knowledge of traded products.
Good coding skills (preferably C++) and working knowledge of Excel.
Experience with Murex as a booking and risk management tool would be beneficial.
Good written and verbal communication skills; ability to work independently.
Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project-based deadlines

JOB PURPOSE

The successful candidate will report to the Head of Model Validation. The purpose of the role is to act as the second line of defence on model risk and to validate the models used in the Bank. The role is an essential part of the Model Validation team. The team’s remit covers all models including a wide range of pricing and risk models. The team is expected to look beyond checking the correctness of the model from a mathematical and implementation perspective. It is essential to provide a robust challenge to modelling assumptions and to review market applicability issues and appropriateness of data and calibration

KEY RESPONSIBILITIES:

Model Validation focused on market risk models
Lead the validation process for all market risk models used in the bank. These models include VaR/SVaR models, Risk-not-in-VaR models, models for data proxying, models for interest rate risk in the banking book, economic capital models, FRTB models, etc.
Provide guidance and mentorship to validation team members, especially in the area of market risk models.
Validate the models from a conceptual soundness and implementation perspective. Review the applicability (i.e. the strengths, weaknesses, model assumptions and limitations) of the models. Independently implement scalable and modular benchmark models. Write model validation reports up to standards such as required by SS 1/23 and follow up with stakeholders on identified modelling issues and model risk mitigants.
Participate in the validation of models other than market risk models where required.
Collaborate and interact with the different relevant stakeholders and oversight bodies, e.g. front office, risk department, regulators, and internal and external auditors.
Conduct validations with a minimal amount of supervision in line with internal standards, best practice and regulatory expectations.
Lead the delivery of the market risk model validation aspects of projects and new product approval processes.
Model Risk
Develop and maintain standards for model validation and model risk management, incorporating best practice and regulations. This includes collaboration with stakeholders to enhance the overall model risk management framework.
Participate in the relevant technical committees and present model validation documents.
Conduct model risk management processes including model risk quantification and monitoring, and periodic validation.
Key interfaces
Establish a strong working relationship with key stakeholders in front office, technology, finance and risk functions.
Provide stakeholders with answers to day-to-day requests while preserving long term objectives and regular schedule review.