Standard Bank Rosebank, Gauteng, South Africa
May 04, 2020Full Time
Job Details Risk Management: understanding all risks - from the economic to the political - that could affect our global business, and offering guidance to all parts of the bank Job Purpose Perform initial and ongoing validations of credit risk and ROE models for both the retail and wholesale areas of the bank. Think critically and manage Model Risk for the aforementioned models Key Responsibilities/Accountabilities Perform initial and ongoing validation of internally and externally developed risk models used by either the retail or wholesale credit risk functions in the bank. The model types include Basel capital parameter models such probability of defaults (PD), loss given default (LGD), and exposure at default (EAD) models. Other model types are application scorecards, behavioural scorecard, credit impairment models (IAS39 & IFRS9), economic capital models stress testing models and ROE models. Review model development documentation of the model that needs to be validated. Review previous model validation reports for the model that needs to be validated. Formulate detailed understanding of the model specification and related data requirements. Source the model input data independently from the Model Development team. Replicate the preparation of data. Design and execute statistical tests to verify that the model works as designed. Where applicable, develop an independent model to use as the reference model. Collate validation results in a technical report. Make conclusions on the validation outcome of the model being validated Identify weaknesses in the model and formulate (for Model Development) appropriate recommendations that will address the identified model weaknesses. Present and defend results at governance meetings (CIB & PBB Credit Technical Committee and PBB & CIB Model Approval committee's). Agree actions to be taken by Model Development to remediate validation recommendations Interact with Model Development to obtain additional clarity on the models that are being validated Determine which aspects of the model require more clarity. Arrange and attend meetings and discussions with Model Development. Formulate requirement for additional clarity, for example additional documentation on model specifications Perform model validation tasks according to the team's standards Follow the validation procedure document to ensure standard approach to model validation, namely: Prepare for validation Read development document to understand the model. Read previous validation document and file notes. Source data. Review latest monitoring pack (scorecard or Basel pack). Review relevant long form audit findings, audit reports, and SARB AIRB self-assessments. Perform validation Follow the policy and procedure guide. Using generic code (macros), perform tests as outlined in procedure document. Research on internet for benchmark studies, validation techniques etc. Seek help from your peers where relevant. Perform any extra validation tests / analysis that you think is relevant / required to assess the model. (Use knowledge from monitoring, previous validations, long form audit findings and long form audit attest procedures to guide your analysis.) Write validation report Incorporate knowledge obtained from monitoring packs, long form audits and previous validations into your report. Use the Model Validation Banking templates to write up your reports. Document should tell a story”, in other words it should be logical, includes explanations around why tests are performed and reaches conclusions. Allow time for review / challenge. Escalate judgemental decisions and ask for input if you need it. Assist on automating documentation to optimise turnaround time. Committees Present validation outcomes at the Credit Technical and Model Approval Committees. Make any changes to the document as a result of the discussion at the Technical and Model Approval Committees Clean up computer code Store final validation report as well as analysis and clean code in the relevant directory on the share drive. Create Model Approval Committee document and store on share drive. Save reflection and file notes for next annual validation Think critically about and manage model risk Understand the principals behind model risk Ensure model risk is correctly applied Identify, make recommendations, and assist to improve the validation methods and processes Develop additional statistical tests to use for testing the model Improve the model validation procedure document Prepare and deliver complete and accurate validation reports to the Technical and Model Approval Committees timeously Produce validation report. Present and defend the main findings at the Technical and Model Approval Committee (attendees: Model Development; Model Validation; Credit; Product; Finance). Agree remediation actions and timelines together with Model Development team. Motivate and defend validation recommendations to stakeholders in Model Development, Credit, Product and Audit Negotiate list of remediation actions, timelines and responsible persons Assist with supervising interns and graduate trainees rotating in the team Supervise interns or graduate trainees that rotate in our team. Show these individuals how to perform model validation tasks Preferred Qualification and Experience Formal minimum qualification Honours Degree in Mathematical Sciences Other qualifications, certifications or professional memberships 4-year degree in Business Analytics; Quantitative Risk Management; Statistics; Financial Mathematics; Engineering; or Physics Preferred qualification Masters Degree in Mathematical Sciences Experience 5-7 Years in an Analyst role in a bank's risk management, model development or model validation function 3-4 Years Demonstrable ability to develop statistical models from data and/or analytical models to estimate capital (unexpected losses), expected losses, or scoring decisions such as application or behavioural scorecards. 3-4 Years Experience with using tools such as Matlab, SAS or R to develop and execute models. 3-4 Years Regulations affecting banking especially internal model approaches for risk capital. 3-4 Years Model risk management practices in banking spanning data preparation, development, documentation, validation, approval, usage and monitoring. Knowledge/Technical Skills/Expertise Quantitative Analysis The ability to builds, analyse and interpret quant models to determine potential risk exposure. Able to analyse behaviour by using complex mathematical and statistical modelling, measurement and research. Financial Industry Regulatory Framework Insight into and understanding of the various laws and regulations regulating the financial services industry Development The design, creation, testing and documenting of new and amended programs from supplied specifications in accordance with agreed standards. Root Cause Analysis Knowledge and application of techniques that can be applied to determine the cause of process or control failures. Quant Skills The ability to build, analyse and interpret quant models to determine potential risk exposure. Risk Awareness General awareness of risk management practices in a financial services organisation.