RISK MODELS VALIDATION OFFICER

Bank of the Philippine Islands (BPI); Manila; On-site; PHP 900,000 - 1,200,000; Full time

Job summary

Bank of the Philippine Islands (BPI) is seeking a Model Validation Officer to support the Risk Management Office in validating risk models and providing independent review of model use. The role involves collaborating with the RMCom and CRO to ensure model risk is properly identified, measured, and reported.

The ideal candidate has a quantitative background, knowledge of SAS or VBA, and a bachelor's degree in a relevant field.

Qualifications

• Strong background in statistics/econometrics and risk analytics.
• Experience with predictive behavioral modelling or credit risk.
• Bachelor’s degree in a relevant field as listed.
• Graduate studies in related finance/statistics fields preferred.

Responsibilities

• Identify sources of model risk and potential losses from using models.
• Perform independent model validation per policies and procedures.
• Prepare validation reports and executive summaries for leadership.
• Monitor validation findings and remediation activities.
• Ensure compliance with company rules, regulatory requirements, and ethics.
• Support section head in absence and take on delegated tasks.

Skills

Quantitative skills

Risk analytics

Statistical concepts

Education

Bachelor’s Degree in Economics, Finance, Mathematics, Statistics, Engineering or Information Technology

Graduate units in MS Finance/Computational Finance/Financial Engineering, Mathematics, or Statistics

Tools

SAS

VBA

Job description

Job Description:

The Model Validation Officer is primarily responsible in the execution and implementation of the risk management function and provide reasonable assurance and independent review of the use of existing as well as proposed risk models. The position augments the increasing use of more advanced quantitative models in the financial industry. Model risk has been identified as an emerging risk in recent years, and the use of models have received greater attention from industry, regulators, senior management, and the board. The position will support the Model Validation Section Head in ensuring the overall risk strategies and objectives of the Risk Management Office as directed by the Department Head, Division Head, Chief Risk Officer (CRO) and the Board through the Risk Management Committee (RMCom).

Duties And Responsibilities

• Risk Identification - Aims to identify possible sources of risks, inherent and/or emerging, which could possibly expose the Bank to unnecessary model risks and potential financial and/or non-financial losses.
• Risk Measurement - Perform independent model validation activities in accordance with established policies, standards and procedures, and work plans as approved by the CRO and the RMCom, taking into account the model owner and model user objectives for development and implementation, respectively; also taking into account the Bank’s business strategy, level of tolerance and risk appetite for model risk. Propose and implement updates and introduce refinements in risk models validation metrics and tools, including (but not limited to) model performance measures, back-testing approaches, data scoping and requirements.
• Risk Reporting and Communication - Preparation of the independent validation reports in accordance with the model validation framework, for presentation to the model owner/s for alignment and communication of findings for remediation; and the preparation of the executive summary other relevant reports for the approval and/or notation of the Department Head, Division Head, Chief Risk Officer and the RMCom Board.
• Risk Monitoring and Control - Perform continuous monitoring of validation findings and corresponding remediation activities to ensure timely closure. Propose and implement updates and introduce refinements to existing monitoring tools.
• Ethical Standards and Professionalism - Ensure that the assigned activities are compliant with Company rules and regulations, regulatory requirements, and professional ethical standards.
• Strategic Support - As delegated, perform all functions of the Model Validation Section Head in his/her absence. Perform other tasks that may be assigned from time to time by the Department Head, Division Head, CRO and the RMCom.

Qualifications

• Basic quantitative background, particularly on statistical concepts, econometrics and/or risk analytics
• Programming and modelling skills in SAS or VBA is preferred
• 1 year of prior school or research work and/or experience related to predictive behavioral modelling, programming and/or statistical studies, particularly on credit and market risk
• Bachelor’s Degree in Economics, Finance, Mathematics, Statistics, Engineering or Information Technology
• Preferably with graduate units in MS Finance/Computational Finance/Financial Engineering, Mathematics, or Statistics