Senior Model Risk Validator – IRRBB & Banking Models

Alliance Bank Malaysia Berhad; Kuala Lumpur; On-site; MYR 90,000 - 150,000; Full time

Job summary

Alliance Bank Malaysia Berhad in Kuala Lumpur is seeking a Model Risk Validation professional to validate risk models and ensure they are fit for purpose. The role concentrates on IRRBB Behavioural models, with broader coverage across retail and other models.

The position involves preparing validation reports, communicating findings to developers, maintaining audit trails, and supporting ongoing model monitoring and governance initiatives.

Responsibilities

• Conduct pre- and post-validation of risk models, with primary focus on Interest Rate Risk in Banking Book (IRRBB) Behavioural models, but not limited to other models (e.g. Retail / Non-retail Credit models, MFRS 9 PD / LGD / EAD / Forward-looking models, Climate/ESG models (where relevant), etc.) within the Bank to ascertain whether they are fit for purpose.
• Assist in formulating and providing input for the annual validation plan.
• Prepare comprehensive model validation reports in accordance with the Bank’s model risk management standards and internal model risk framework.
• Communicate findings/reports to the model developers; secure buy-in for recommendations, and monitor corrective actions taken to address identified gaps/issues.
• Maintain proper documentation / audit trails, including model logs and relevant administrative / governance records.
• Support on-going technical research, including development/maintenance of analytical templates for data modelling and statistical tests, as well as to perform continuous learning of various risk modelling concepts/methodologies to improve robustness of validation performed.
• Perform regular reviews of relevant policies, procedures and frameworks to ensure that they remain up-to-date and compliant with the latest regulatory requirements and industry practices.
• Support and enhance the on-going quarterly model monitoring process and deck as part of the model risk management.

Job description

Alliance Bank Malaysia Berhad in Kuala Lumpur is seeking a Model Risk Validation professional to validate risk models and ensure they are fit for purpose. The role concentrates on IRRBB Behavioural models, with broader coverage across retail and other models.

The position involves preparing validation reports, communicating findings to developers, maintaining audit trails, and supporting ongoing model monitoring and governance initiatives.