Manager, Model Validation
Job Title: Manager, Model Validation
Department: Credit Risk
Reports To: Senior Director, Model Validation
Purpose of Job
The Manager, Model Validation (“MMV”) reports to the Senior Director, Model Validation (“SDMV”) and supports the SDMV and other Senior Management with respect to all aspects of Model Validation activities within the Bank. The MMV is responsible for assisting in the development of strategies to validate all models applied in production on an enterprise-wide basis, and in executing on the required validation procedures. The MMV will also be responsible to ensuring model risk be appropriately managed according to the Bank’s Model Risk Policy and Framework and comply with regulatory requirements. This includes (not limited) the models for credit risk management (such as AIRB and IFRS 9), ICAAP and asset liability management.
The incumbent will be instrumental in fostering the relationship with Model Development teams, including validation of model framework, assumptions, data; benchmarking; providing analysis, findings, recommendation and conclusion; documentation of the items above in the Model Validation report.
Model Validation Projects (90%)
- Propose vetting/validation strategy and plan with SDMV for each vetting/validation project
- Assess the appropriateness and construction of models with respect to their current or planned use and determine the level of model risk associated with the model, its assumptions, mathematical implementation, the underlying data and its system implementation.
- Draw upon your experience and knowledge to provide appropriate model risk assessments consistent with the model’s risk content and intended usage.
- Produce the validation report according to the policy and format including identification of model limitations, weaknesses, conditions for model use and level of model risk.
- Ensure effective two-way communication with the Model Owners/Developers/Users set expectations, obtain and provide information on models, and communicate model risk issues and suggestions during the validation process.
- Ensure key information such as model review dates, conditions and triggers are captured accurately in the model risk management system.
- Provide regular project status updates to SDMV for tracking and monitoring validation projects.
Technical Input (5%)
- Provide technical input to model developers and/or risk management groups in the development of models to proactively assist the business resolve model risk issues. The input provided should be managed effectively to ensure that Model Validation independence will not be compromised.
- Share knowledge of models and validation projects with other validators to ensure transfer of knowledge across Model Validation.
Client Relationship Management (5%)
- Develop and maintain effective relationships with the business client, risk management and technology to understand and complete the model validation request.
- Escalate difficult or complex project-related client issues to SDMV or the Project Manager for resolution.
- Master degree or Ph.D degree in Math, Math Finance, Statistics, Engineering, Finance, Economics or equivalent quantitative background.
- Five years or more experience of quantitative modeling in the financial industry.
- Experience in Retail, Commercial and Corporate Credit Risk modeling, Asset-Liability Management modeling, ICAAP, AIRB or IFRS 9 is an asset.
- Solid understanding of model risk management and governance.
- General knowledge of banking industry.
- Experience in at least two of programming languages/tools preferred. This may include Python, R, SAS, C++, C#, Java and Matlab.
- Developed project management and time management skills.
- Strong technical documentation and report writing skills.
- Solid and proven communication skills.
- Pay Type Salary
- Equitable Bank, Toronto, Ontario, Canada