Entry-Level Model Risk Validator: Validate Credit Models

RHB Banking Group; Kuala Lumpur; On-site; MYR 40,000 - 55,000; Full time

Job summary

A leading banking institution in Kuala Lumpur seeks an entry-level candidate for model validation and risk management. Responsibilities include reviewing rating systems and ensuring compliance with regulatory standards. Candidates should hold a Bachelor's degree and possess strong analytical and statistical modeling skills. This full-time role offers an opportunity to enhance risk methodologies in a dynamic environment.

Qualifications

• 1-2 years of credit experience in risk management or model development.
• Experience in risk management preferred.
• Good written communication skills.

Responsibilities

• Review adequacy and effectiveness of rating system processes.
• Conduct model validation prior to implementation.
• Track and report progress on outstanding issues.

Skills

Analytical skills

Statistical modeling skills

Communication skills

Programming skills in SAS

Education

Bachelor Degree in related field

Job description

Primary Objective

Independently validate RHB Banking Group’s models, rating systems and the estimation of risk components on a regular cycle to ensure:

• the Bank’s implementations of Basel II IRB and IFRS 9 models for Credit Risk, IMA for Market Risk as well as AMA for Operational Risk are in accordance to the regulatory standards;
• objectives, assumptions, risk factors and performance of the models remain consistent with their intent, construction and design; and
• models and risk estimates remain predictive, stable and risk sensitive.
  
  

Primary Objective

Independently validate RHB Banking Group’s models, rating systems and the estimation of risk components on a regular cycle to ensure:

• the Bank’s implementations of Basel II IRB and IFRS 9 models for Credit Risk, IMA for Market Risk as well as AMA for Operational Risk are in accordance to the regulatory standards;
• objectives, assumptions, risk factors and performance of the models remain consistent with their intent, construction and design; and
• models and risk estimates remain predictive, stable and risk sensitive.
  
  

Key Responsibilities

• To review the adequacy and effectiveness of rating system processes, the oversight structure and control procedures to ensure the applicability and proper application of the quantitative methods in practice. The review covers model design / rating systems documentation, data quality, governance and control as well as internal use of rating (Qualitative Validation).
• To review model developmental evidence, outcome analysis and back-testing using the data gained during practical operations of the model while comparison or benchmark data can be included as a supplement (Quantitative Validation).
• To independently validate prior to implementation and adoption of the new / re-calibrated models for quality assurance.
• Perform tracking, monitoring and reporting progress on Outstanding Issues by relevant parties such as risk modeling, credit risk, business units, etc. pertaining to all validated models.
• Continuous enhancement of model validation methodologies or techniques to enhance effectiveness and efficiency
  
  

Requirements

• Bachelor Degree - Any related field(s).
• Preferably 1 - 2 years of credit experience in risk management or model development or model validation.
• Preferably with experiences in risk management.
• Good analytical skills.
• Good statistical modeling skills.
• Good communications and writing skills.
• Programming skills in SAS would be an added advantage.