Model Risk Management Specialist

YTL Digital Bank Berhad (Registration No. 202201037182 (1482879-P); Kuala Lumpur; On-site; MYR 180,000 - 270,000; Full time

Job summary

Ryt Bank in Malaysia is seeking a Model Risk Management Specialist to join the Second Line of Defence, validating traditional and AI/ML models and ensuring regulatory compliance.

You will lead independent validations, assess data lineage, bias, explainability, and prepare governance materials for CRO and committees.

Qualifications

• Education: Master’s degree or PhD in a highly quantitative field such as Statistics, Mathematics, Financial Engineering, Data Science, Computer Science, or Econometrics.
• Experience: >5 years in model validation, quantitative risk management, or advanced data science within banking/financial institutions or consulting.

Responsibilities

• Model Validation & Conceptual Review
• Technical Validation of high-risk models incl. credit risk, MFRS9, market risk, AML monitoring, forecasting systems
• AI/ML Assessment of algorithms including deep learning, NLP, Generative AI
• Explainability & Bias Mitigation assessing XAI, bias, data drift, ethics
• Governance, Inventory & Documentation maintaining model inventory and validation reports
• Performance Monitoring of model drift and triggering re-validation
• Regulatory Compliance alignment with BN Malaysia, MFRS and AI governance
• Effective Challenge to data scientists and business owners
• Committee Reporting for Risk Committee and CRO

Skills

Effective communication

Explainable AI

Independent validation

Challenge of risk

Education

Master’s or PhD in quantitative field

Tools

Python

R

SQL

SAS

Scikit-learn

TensorFlow

PyTorch

Job description

The Model Risk Management (MRM) Specialist operates within the Second Line of Defence (2LoD) to manage, validate, and mitigate risks arising from the bank's mathematical, statistical, and Artificial Intelligence (AI/ML) models. This role focuses on ensuring that traditional quantitative models (e.g., credit risk, stress testing) and advanced AI systems (e.g., Generative AI, LLMs, machine learning credit scoring) are conceptually sound, compliant with regulations, and governed ethically. This position reports directly to the Chief Risk Officer.

Key Responsibilities

• Model Validation & Conceptual Review
• Technical Validation: Conduct independent technical validations of high-risk models, including credit risk models, Expected Credit Loss (MFRS9) models , market risk, AML transaction monitoring, and financial forecasting systems.
• AI & Machine Learning Assessment: Review and challenge advanced AI algorithms, including deep learning, NLP, and Generative AI models. Assess data lineage, hyperparameter tuning, and training methodology.
• Explainability & Bias Mitigation: Evaluate AI models for explainability (XAI), interpretability, algorithmic bias, data drift, and ethical implications. Ensure models do not produce discriminatory outcomes.
• Governance, Inventory & Documentation
• Model Inventory Control: Maintain and update the comprehensive Bank-Wide Model Inventory, ensuring all traditional and AI/ML models are properly tiered by risk level.
• Documentation Standards: Produce comprehensive validation reports documenting methodology, findings, and recommendations in line with the Bank's validation standards; present findings to the model development team and upscale material issues to CRO and RMC, BRMC; Assist in preparing model risk governance materials for the Risk Management Committee, including validation summaries and model risk status updates.
• Performance Monitoring: Establish metrics to monitor ongoing model performance, data drift, and model decay, triggering re-validation or remediation when thresholds are breached.
• Regulatory Compliance & Strategic Risk Framework Alignment: Ensure the bank’s model inventory complies with global and regional regulatory expectations, including Bank Negara Malaysia (BNM) frameworks (e.g., Credit Risk, Risk Governance Policy Documents), MFRS, and emerging AI Governance Frameworks.
• Effective Challenge: Deliver an independent, constructive, and rigorous "effective challenge" to data scientists, quantitative developers, and First Line (1LoD) business owners regarding model limitations and risks.
• Committee Reporting: Prepare clear validation reports and synthesize complex technical vulnerabilities into executive summaries for the Risk Committee (MRC) and Chief Risk Officer (CRO).

Required Skills & Qualifications

Education & Experience

• Education: Master’s degree or PhD in a highly quantitative field such as Statistics, Mathematics, Financial Engineering, Data Science, Computer Science, or Econometrics.
• Experience: >5 years of experience in model validation, quantitative risk management, or advanced data science within a banking, financial institution, or financial consulting environment.

Technical & Core Competencies

• Programming Proficiency: Advanced hands‑on coding skills in Python, R, SQL, or SAS for data manipulation and statistical replication.
• AI/ML Frameworks: Practical familiarity with machine learning libraries and frameworks (e.g., Scikit-learn, TensorFlow, PyTorch) and automated validation tools.
• Banking Domain Knowledge: Deep comprehension of financial products, risk metrics (PD, LGD, EAD), stress testing methodologies, and economic capital modeling.
• Communication: Ability to articulate complex mathematical and algorithmic concepts clearly to non-technical business stakeholders and senior executives.

JR00000653

Hey Malaysia, we’re Ryt Bank - your first AI-powered digital bank! Formed by the consortium of YTL Digital Capital Sdn Bhd and Sea Limited, two of Southeast Asia’s leading innovators, we’re here to reshape banking in Malaysia. At Ryt Bank, we believe in fast, easy, and secure financial solutions that are as inclusive as they are innovative. It’s not just about banking—it’s about your right to better banking. Operating under YTL Digital Bank Berhad [Reg. No. 202201037182 (1482879-P)], we are fully licensed by Bank Negara Malaysia and Ministry of Finance. Excited? The Ryt Bank app is launching soon. Get ready for a new era of banking - one that’s done right!