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VP, Retail Model Validation, Risk Management Group

DBS Bank Limited Singapour
Mise en ligne il y a 2 jours CDI Competitive
VP, Retail Model Validation, Risk Management Group
Business Function

Risk Management Group works closely with our business partners to manage the bank's risk exposure by balancing its objective to maximise returns against an acceptable risk profile. We partner with origination teams to provide financing, investments, and hedging opportunities to our customers. To manage risk effectively and run a successful business, we invest significantly in our people and infrastracture.

The aim of the model validation team is to (1) limit the Bank's exposure to model risk by regularly validating all relevant models as mandated; (2) provide in-depth analysis and comments for Senior Management, and (3) meet regulatory expectations in this regard.

Responsibilities

As a core member in the team, the successful candidate will undertake the following 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.
  • Drive priority initiatives for the team/department, in particular undertake research to upgrade the team/department's statistical tools, techniques, and methodologies.
  • Spearhead experimentation with alternative analytics techniques (including machine learning) for benchmarking in-use credit risk models.
  • Coordinate with MV data analytics team to find solution for the validation needs of the team such as, but not limited to, sourcing of input data used in the model, provide requirements in automating data-feeds to the system data repository, designing dashboards for model performance monitoring, support and testing in migration or enhancement of 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.
Référence  WD49584
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