Assistant Vice President, Independent Model Validation

Alliance Bank; Kuala Lumpur; On-site; MYR 180,000 - 240,000; Full time

Job summary

Alliance Bank Malaysia Berhad is seeking an Assistant Vice President for Independent Model Validation to lead validation and monitoring of risk models, including IRRBB behavioural models and credit risk models. The role emphasizes rigorous reporting and governance documentation.

The candidate will liaise with model developers, secure buy-in for recommendations, and contribute to quarterly monitoring processes. Advanced quantitative expertise and regulatory awareness are essential for success.

Qualifications

• Experience in model risk management and validation.
• Familiarity with IRRBB behavioural models and credit risk models.
• Proficiency in data modelling techniques and statistical testing.

Responsibilities

• Conduct pre- and post-validation of risk models focusing on IRRBB Behavioural models.
• Prepare validation reports per the bank's model risk standards.
• Communicate findings to developers and monitor corrective actions.
• Maintain documentation including model logs and governance records.
• Support ongoing research and development of analytical templates.

Skills

Model validation

IRRBB

Statistical tests

Risk modelling

Education

Master's degree in Finance/Statistics

Job description

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Assistant Vice President, Independent Model Validation

14h ago , from Alliance Bank Malaysia Berhad

• Conduct pre- and post-validation of risk models, with primary focus on Interest Rate Risk in Banking Book (IRRBB) Behavioural models, but not limited to other models (e.g. Retail / Non-retail Credit models, MFRS 9 PD / LGD / EAD / Forward-looking models, Climate/ESG models (where relevant), etc.) within the Bank to ascertain whether they are fit for purpose.
• Assist in formulating and providing input for the annual validation plan.
• Prepare comprehensive model validation reports in accordance with the Bank’s model risk management standards and internal model risk framework.
• Communicate findings/reports to the model developers; secure buy-in for recommendations, and monitor corrective actions taken to address identified gaps/issues.
• Maintain proper documentation / audit trails, including model logs and relevant administrative / governance records.
• Support on-going technical research, including development/maintenance of analytical templates for data modelling and statistical tests, as well as to perform continuous learning of various risk modelling concepts/methodologies to improve robustness of validation performed.
• Perform regular reviews of relevant policies, procedures and frameworks to ensure that they remain up-to-date and compliant with the latest regulatory requirements and industry practices.
• Support and enhance the on-going quarterly model monitoring process and deck as part of the model risk management.