The missions of a senior functional expert are varied and hinge upon the strengthening of regulatory and accounting requirements related to the supervision and monitoring of risk models.
In this context, you will be responsible for conducting internal model reviews (validation of the modeling, backtesting, etc.
that have been developed by the Group’s modeling entities.
Your main missions will be :
The functional expert works on many different topics such as : retail or wholesale credit risk (PD models, CCF models, LGD models, stress tests ), market risk models (VaR / SVaR / FRTB, EEPE, CVA, SIMM, IRC / CRM.
Ideal candidate should be well versed in credit risk model development, validation and maintenance of models (PD, LGD and EAD) for wholesale and retail credit portfolio of the bank as per regulatory guidelines.
Exposure to banking book and understanding of trading book products and knowledge on BASEL / IFRS guidelines is highly desirable.
Candidate should have excellent business communication skills. Educational Requirements :
Post-graduation degree in quantitative discipline(Statistics, Economics, Mathematics & engineering) from Tier I / II colleges.
Additional certification in machine learning techniques or estimation of credit risk parameters will be preferred.
Role & Responsibility
The ongoing monitoring of the model is a task that must be done in all phases of the model lifecycle (development, implementation, use).
In order to track and measure the efficiency and adequacy of models, the model monitor conducts continuous analysis and controls as an early warning both initially at implementation (for new models) and regularly as a part of the model’s ongoing monitoring.
For the purpose of these tests, the model monitor is responsible to :
o Sensitivity analysis to test robustness.
Furthermore, as part of the model ongoing monitoring phase, the model monitor should abide by the group standards on ongoing monitoring that establish guidelines on performance assessment processes including type, scope and range of tests and appropriateness of responses to any problems that may appear.
Technical Skills :
Regulatory risk model (IRB, IFRS9) model validation, monitoring, development (good to have) using SAS, R. Initiation to machine learning model validation.
Functional Skills :
Knowledge of Global regulatory Topics BASEL II / III & IFRS 9
Understanding of risk management and risk quantification processes
Understanding of forms of risk, viz. credit, market, operational, model etc.
Behavioral Aspects :