Director, Independent Risk Model Validation

Affin Bank Berhad; Kuala Lumpur; On-site; MYR 180,000 - 300,000; Full time

Job summary

Affin Bank Berhad is seeking a seasoned risk model validator to support the Head of Model Validation. You will conduct independent validation of risk models (Retail and Non-Retail scorecards, PD, EAD, LGD, and MFRS 9) and contribute to the bank's risk management framework.

The role requires strong analytical skills, hands-on SAS/SQL experience, and familiarity with Basel Accords and MFRS 9. You will document methodologies, findings, and actionable improvements, and communicate results to

Qualifications

• Minimum of 8 years of experience in banking or financial services, preferably in model validation or model development.
• Degree in Statistics, Mathematics, Actuarial Science, or a related quantitative field.
• Strong analytical and problem-solving skills.
• Hands-on experience in SAS or SQL for data analysis. Knowledge of R or Python is an added advantage.
• Effective written and verbal communication skills.
• Ability to manage multiple tasks and coordinate cross-functional stakeholders.
• Familiarity with regulatory frameworks related to model validation (e.g., Basel Accords, MFRS 9) is highly desirable.

Responsibilities

• Conduct independent pre- and post-implementation validation of risk models, including Retail/Non-Retail scorecards, PD, EAD and LGD and MFRS 9 models.
• Perform comprehensive qualitative and quantitative assessments of model development processes and performance.
• Prepare thorough documentation of validation approaches, findings, and analysis.
• Recommend actionable improvements or enhancements based on validation outcomes.
• Track the progress of corrective actions and provide regular updates.
• Communicate validation results effectively to model development teams, senior management, and governance committees.
• Address concerns from auditors and regulators regarding model compliance and performance.
• Assist in reviewing and updating internal model validation policies to align with regulatory requirements and industry best practices.

Skills

Model validation

Statistical analysis

Analytical thinking

SQL

SAS

Python

R

Communication skills

Education

Statistics/Mathematics/Actuarial Science degree

Tools

SAS

SQL

Python

R

Job description

Affin Bank Berhad is seeking a seasoned risk model validator to support the Head of Model Validation. You will conduct independent validation of risk models (Retail and Non-Retail scorecards, PD, EAD, LGD, and MFRS 9) and contribute to the bank's risk management framework.

The role requires strong analytical skills, hands-on SAS/SQL experience, and familiarity with Basel Accords and MFRS 9. You will document methodologies, findings, and actionable improvements, and communicate results to