Model Risk Analyst

Job Requirements About the RoleThe Model Risk Analyst in the Model Risk Management (Market Risk) team under the Risk function is responsible for validating and enhancing the bank’s risk models. This includes improving the accuracy, coverage, and automation of model validation processes, and independently validating statistical and mathematical models, particularly for retail lending scorecards. The role also involves supporting the validation of wholesale and market risk models, ensuring robust risk management practices across the organization. Key ResponsibilitiesPrimary ResponsibilitiesLead initiatives to enhance the accuracy, granularity, and coverage of existing model validation processes. Develop tools to automate model validation workflows and improve process efficiency. Independently perform statistical and mathematical model development or validation, with a focus on retail lending scorecards. Secondary ResponsibilitiesConduct validation of wholesale rating models, including:Quantitative and qualitative testingPD calibrationDiscriminatory power analysisSensitivity analysisRating migration testingValidate market risk models such as:Derivative and fixed income valuationsBootstrappingValue at Risk (VaR)Sensitivity and capital charge modelsInterest rate and foreign exchange simulationsWhat We Are Looking For EducationGraduation: Bachelor’s degree in a quantitative discipline such as Mathematics, Statistics, Engineering, Economics, or related fieldsPost-graduation: Master’s degree or higher in a relevant field (preferred)ExperienceMinimum 1 year of experienceRelevant experience in model development or validation, particularly in retail lending, wholesale credit, or market risk models Skills and AttributesStrong understanding of statistical and mathematical modeling techniquesProficiency in tools such as Python, R, SAS, or similar statistical softwareFamiliarity with risk modeling frameworks and regulatory expectationsAnalytical mindset with attention to detail and problem-solving skillsAbility to work independently and manage multiple validation projectsStrong communication skills to present findings and recommendations effectively