Head, Basel & IFRS 9 Non-Retail

RHB Bank; Kuala Lumpur; On-site; MYR 100,000 - 150,000; Full time

Job summary

A leading financial institution in Kuala Lumpur is seeking a Model Risk Management Specialist to supervise the model validation processes and enhance the overall framework governing model risk management. The role involves conducting detailed reviews of model adequacy, communicating insights to stakeholders, and ensuring compliance with regulatory requirements. The ideal candidate will have a strong background in finance or quantitative fields and possess excellent communication skills.

Qualifications

• Experience in supervising model risk management frameworks.
• Strong understanding of model validation processes.
• Ability to communicate effectively with stakeholders.

Responsibilities

• Supervise and enhance model validation frameworks.
• Conduct reviews on adequacy of models and rating systems.
• Provide insights and recommendations based on model performance.

Skills

Model risk management

Quantitative validation

Communication

Project management

Data quality analysis

Education

Bachelor's degree in Finance, Mathematics, or related field

Job description

• Supervise and establish a robust model validation and model risk management framework and continue to update and enhance the framework that governs all entities of RHB Banking Group to ensure sound model development, model validation and model risk management as well as reliability, stability and relevance of models.
• Supervise and perform review on the adequacy and effectiveness of models and/ or rating system and processes, the oversight structure and control procedures to ensure the applicability and proper application of the quantitative methods in practice. The review covers data quality, model design or rating systems documentation, governance and control as well as internal use of rating (Qualitative Validation).
• Supervise and perform review on model development evidence, outcome analysis and back-testing using the data obtained during practical operations of the model while comparison or benchmark data can be included as a supplement (Quantitative Validation).
• Supervise and perform review prior to implementation and adoption of the new / re-calibrated models for quality assurance.
• Supervise and perform review on existing models for quality assurance.
• Collating list of obligors from different systems. This include to highlight any discrepancies and provide recommendations on treatment of discrepancies of data
• Communication with stakeholders with regards to risk-ranking exercise of obligors for all non-retail portfolios
• Provide overall conclusion on the performance of non-retail portfolios and provide recommendations to model owners
• Nevertheless, where relevant, to also conduct supervision of retail model validation. This include providing assurance on model performance of assigned model/portfolio and raise any model performance issue and/or area for improvements.
• Where relevant, to also conduct validation of non-regulated models. In view of non-regulated models often adopt Artificial Intelligence and/or Machine Learning element, to keep abreast of new developments to provide effective supervision of model validation,
• Continuous enhancement of model validation and model risk management methodologies or techniques.
• Plan and manage validation project timeline and ensure the team is able to complete the project within the timeline.
• Responsible for administrative processes of the team which include, but not limited to;
  • Budget allocation with regards to any new investment required, or additional budget required for existing processes.
  • Provide recommendations and insights on business plan initiatives
• Provide insights on training requirements of the team and where applicable, stakeholders of MRM
  • Communication with RHB Academy and external organizer (e.g., SAS) with regards to relevant trainings applicable to MRM team
  • Nominate team members for trainings, relevant to the current skillset and expertise of each team member
  • Arrangement of training to stakeholders of MRM team e.g., expectations on model documentation, usage of Model Risk Governance system.
• Prepare presentation deck which summarized key validation findings and present to senior management.

Communicate and manage external parties such as regulator, external auditors, external model developers and/ or external model validation advisory.