Model Risk Management

RHB Bank Berhad; Malaysia; On-site; MYR 60,000 - 120,000; Full time

Job summary

RHB Bank Berhad in Malaysia invites applications for an Associate Model Validator to independently review risk models, rating systems and data governance to ensure Basel II IRB/IFRS 9 compliance and model integrity. You will validate development evidence, perform outcome analyses and back-testing, monitor outstanding issues and report progress to risk teams, business units and senior management.

Required: Bachelor’s degree in a related field; 1–2 years in credit risk or validation; strong

Qualifications

• Bachelor's degree in a related field is required.
• 1–2 years in credit risk, risk management, or validation is preferred.
• Good analytical, statistical, and writing skills; SAS programming is an advantage.

Responsibilities

• Review adequacy and effectiveness of rating systems, data governance and control procedures.
• Validate model development evidence, outcome analysis and back-testing; monitor issues and report progress.

Skills

Analytical skills

Statistical modeling

Communications

SAS programming

Education

Bachelor's degree in a related field

Tools

SAS

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.

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.

A mantra for our clients, customers, partners and every member of the RHB family. Yes, you. Our employees are one of the reasons we are here today. Dynamic, forward-thinking and progressive, there is a reason why we are an award-winning financial institution. Join us today and be a part of a winning family. At RHB, we take pride in our people and our teams. Great relationships built on trust, a 'leading it right' environment, challenging assignments and a culture of excellence are the pillars to the dynamic and diversified workplace we call home. As we grow towards realising our aspirations, we promise a workplace built on the five pillars – RHB Cares; RHB Leads; RHB Inspires; RHB Progresses; and RHB Rewards.