Advisor, Model Risk Management (40000086)

Job Purpose

- Build and develop Bank level Model life cycle governance
- Build and develop Model inventory và tiering
- Build and develop Model risk appetite
- Build and develop Model deployment assurance

Key Accountabilities (1)

1. General Responsibilities:
a. Strictly follow the bank's labor regulations
b. Perform work in accordance with Techcobmank's regulations
c. Comply with the work arrangement and training of Techcombank and the Unit
d. Perform tasks at the request of direct managers and upper management

Key Accountabilities (2)

2. Professional Responsibilities:
a. Bank level Model life cycle governance
- Define bank level model life cycle with a clear list of activities
- Define and clarify key roles and responsibilities of stakeholders in each activity and how they interact across the model life cycle
b. Model inventory và tiering
- Build centralized model inventory covering all models and capturing relevant model attributes (i.e. data fields, validation and monitoring findings, model tiering criteria, etc.)
- Formalize model inventory management activities (e.g. model identification, taxonomy, attributes)
- Create process to maintain model inventory on an ongoing basis
- Design and implement model tiering system that takes into consideration dimensions such as model impact, model complexity
c. Model risk appetite
- Establish model risk appetite and model risk tolerance limits
d. Model deployment assurance
- As part of the model life cycle, establish standards and procedure ensuring quality of deployed models and the ongoing model performance monitoring

Key Accountabilities (3)

e. Upskilling, Coaching of model users và owners
- Raise awareness for senior model stakeholders about model risk and model risk management framework
- Upskill for technical staff with clear guidance on specific skills required for developers, validators
- Benchmark and estimate resource requirements and address any capacity gaps by upskilling and hiring plan (internally / externally)
f. Regulatory / Audit coordination
- Keep up with regulatory requirements related to models and have a plan to incorporate those requirements in a timely manner.
- Coordinate with the internal and external audit in mattes related to models. Audit acts as the 3rd line of defense while MRM acts as the 2nd line of defense in managing model risk.
g. Model Validation
- Setup model validation framework
- Execute model validations

Key Relationships - Direct Manager

CRO

Key Relationships - Direct Reports

N/A

Key Relationships - Internal Stakeholders

Model developers, model users, IT

Key Relationships - External Stakeholders

Consultant, partner

Success Profile - Qualification and Experiences

Experience:
- At least 13 years of work/research experience in relevant field (Finance, Technology, etc.)
- Prior experience in model development and validation a plus.
Expertise:
- Advanced skill level with SQL/SAS/Python/R
- Trained or experienced in probability/statistics, data mining, data analysis, big data, machine learning,...
- Knowledge in Basel/IFRS9 models a plus.
Degree/Professional: Advanced Degree. Specify: Master’s Degree in Statistics, Econometrics, Mathematics, Finance, Operations Research, or equivalent.
Foreign language (English): minimum TOEIC 650 or equivalent