AVP, Specialist, Model Validation, Risk Management Group

DBS Bank Limited; Singapore; On-site; USD 60,000 - 100,000; Full time

Job summary

An established industry player in financial services is seeking a seasoned model validation expert to join their Risk Management Group. In this pivotal role, you will assess and validate credit risk models, ensuring compliance with regulatory standards while contributing to the enhancement of statistical tools and methodologies. The ideal candidate will possess outstanding quantitative skills and experience in model development, with a strong grasp of Basel regulations. This dynamic environment offers a competitive salary, a supportive culture, and opportunities for professional growth, making it an exciting place to advance your career in risk management.

Benefits

Competitive Salary

Dynamic Work Environment

Professional Development Opportunities

Recognition of Achievements

Qualifications

• 8+ years of experience in model development and validation.
• Outstanding quantitative skills with statistical software.
• Strong understanding of Basel II and Basel III requirements.

Responsibilities

• Assess development and performance of credit risk models.
• Ensure compliance with Basel II and Basel III requirements.
• Provide validation reports with findings and recommendations.

Skills

Statistical Analysis

Model Validation

Python

R

SQL

Excel

VBA

Communication Skills

Leadership

Research Mindset

Education

Degree in Statistics

Degree in Mathematics

Degree in Quantitative Finance

Degree in Data Analytics

Tools

Tableau

Job description

DBS is a leading financial services group in Asia, with over 280 branches across 18 markets. Headquartered and listed in Singapore, DBS has a growing presence in the three key Asian axes of growth: Greater China, Southeast Asia and South Asia. The bank's capital position, as well as "AA-" and "Aa1" credit ratings, is among the highest in Asia-Pacific. DBS has been recognised for its leadership in the region, having been named “Asia’s Best Bank” by The Banker, a member of the Financial Times group, and “Best Bank in Asia-Pacific” by Global Finance. The bank has also been named “Safest Bank in Asia” by Global Finance for seven consecutive years from 2009 to 2015.

Business Function

Risk Management Group (RMG) is responsible for the development and maintenance of risk management and internal control frameworks. We provide independent review and challenge to business to ensure that appropriate balance is considered in risk/return decisions. In addition, RMG is responsible for the monitoring and reporting on key risk issues of the Bank. To manage risk effectively and deliver strong financial performance, we invest significantly in our people and infrastructure.

Responsibilities

• Critically assess the development and performance of all credit risk models related to the Retail portfolios. This includes application scorecards, behavioural scorecards, PD, EAD and LGD models used for capital computational purposes as mandated within the Bank.
• Contribute towards the assessment of inputs, assumptions and parameter estimates relating to the validation of Retail credit risk models, as well as models for stress testing.
• Ensure compliance with Basel II and Basel III requirements, as well as local regulatory requirements
• Maintain validation standards to ensure that they meet regulatory expectations having regard to business constraints – such as data and systems and its implications with respect to modelling and parameterization processes.
• Provide well-considered validations reports that clearly articulate findings and recommendations
• Participate in priority initiatives for the team/department, in particular undertake research to upgrade the team/department’s statistical tools, techniques and methodologies.
• Conduct experimentation with alternative analytics techniques (including machine learning) for benchmarking in-use credit risk models
• Coordinate with MV data analytics team in finding solutions for the validation needs of the team such as, but not limited to, sourcing of input data used in the model, providing requirements in automating data-feeds to the system data repository, designing dashboards for model performance monitoring, supporting and testing enhancements on validation platform
• Contribute towards developing strong professional relationship within and across validation teams as well with model developers

Requirements

• Degree in quantitative discipline, such as Statistics, Mathematics, Quantitative Finance, Data Analytics, or equivalent.
• At least 8 years of experience in model development/validation.
• Outstanding quantitative skills (including working knowledge of statistical/database languages/software such as Python, R, SQL, Excel, & VBA).
• Knowledgeable in dashboard tools such as Tableau is an advantage.
• Strong leadership abilities and is self-motivated.
• Excellent communication skills (both oral and written).
• Sound knowledge of Basel II, Basel III, and local regulatory requirements.
• Strong understanding of business requirements and evolving industry practice.
• Innovative with research mindset.
• Able to contribute towards team building and maintaining team morale.
• Ability to work in a team and under pressure.

Apply Now

We offer a competitive salary and benefits package and the professional advantages of a dynamic environment that supports your development and recognises your achievements.