Advisor/ Director, Quantitative Risk Modelling

Job Purpose

The job holder responsible for:
Overseeing the use of quantitative modeling, methodologies and analytics to support internal risk management and regulatory compliance within the organisation. He/she leads the research, development and implementation of quantitative models and quantification approaches to measure and control Market risk, Couterparty credit risk, Interest rate risk and Liquidity risk. She/He ensures managing risks related to model usage.
The Risk quantitative modeling Director is well-versed with various data analytics and quantitative analytics methodologies to support risk decision making. She/He proficient in stakeholder management and communication, and able to provide guidance to team on aligning business view and quantitative approaches. He/She is able to draw connections between various disciplines, synthesise information and articulate insight

Key Accountabilities (1)

PEOPLE MANAGEMENT
- Oversee human resources planning and execution (headcount & costs) of their function/ sub- function
- Attract, onboard and retain the right talents for a high- performing team
- Establish and communicate sub- function/ function and individual KRAs/ KPIs, goals, action plan, expectations and results to reporting line
- Manage sub- function/ function performance & provide feedback regularly (following the annual performance management cycle)
- Define team’s capability requirements and enable team member’s professional and personal development through capability assessment, training, coaching & feedback, mentoring, etc.
- Motivate and recognize team members’ contributions towards the team’s shared goals
- Responsible for developing talents within the function/ sub- function
- Act as a role model and promote corporate culture at function/ sub- function level
- Understand & communicate relevant HR offerings to team members.

Key Accountabilities (2)

2. Management Responsibilities
• Developing, managing, monitoring and implementing the budget according to the annual work plan, managing the unit's operating budget according to the approved quota.
• Ensuring that the activities of the unit comply with policies, regulations, and procedures of the law and the bank
• Building and implementing strong grassroots cultural work in accordance with the organization's culture orientation.
• Prepare and implement the operation plan of the unit in alignment with the department's operational plan

3. Functional responsibility
3.1. Develop quantitative modeling and quantification approach for Market risk, Counterparty credit risk, Interest rate risk in banking book and Liquidity risk and compliance
• Determine quantitative modeling roadmap for risk assessment and monitoring
• Oversee the development of quantitative risk models and modeling methodologies for risk assessment and monitoring in accordance with Basel, Regulatory Authority (SBV) standards and internal management requirements
• Determine requirement for data models and quantitative risk analytics to align with quantitative approaches
• Set the direction for the implement refinements to model, algorithms and data for post-testing develop
• Oversee deployment and integration of models and/or analytics solutions into systems infrastructure
• Conduct quality assurance on approved models and algorithms for implementation after testing is completed
• Oversee the development and maintenance of model documentation, user requirements, parameters, and configurations for risk quantitative models
• Set the direction for training on the use of risk models

Key Accountabilities (3)

3.2 Model risk management activities and reporting
• Oversee model risk management activities in accordance with defined procedures
- Build monitoring plan including governance, risk/performance metrics during life cycle of model
- Organize to risk/performance model monitoring
- Periodic reviews of data samples to ensure data quality, completeness and integrity in analytics usage
• Review and propose improvement to reporting dashboards for representing risk and compliance model risk findings
• Communicate findings of summary report of quantitative modelling, trend analysis to stakeholders
• Challenge the results of quantitative modelling, monitoring and analysis based on known risks and weaknesses in models
• Set the direction for remediation plan of risk model and remediation actions of pricing and behavior model
3.3 Model validation for FM pricing model, customer behavior
• Set of direction for Independent assessment of model risk under the scope of pricing model and Behavior model including: Validation activities, Model risk assessment, Summary of finding, Model risk mitigation and recommendation for Developer
• Ensure Documentation, validation report and references are in place to deliver to Developer
3.4. Risk internal policies
• Lead to develop standard, guidelines, process on model development and model validation in line with TCB’s overall risk framework, bank’s strategy, compliance with SBV requirements và Basel standards
• Coordinate with Market risk, IRRBB, Liquidity risk, Counterparty credit risk, Model risk policy function to design policies, processes and guidelines related to Market risk, Liquidity risk, Counterparty credit risk measurement
• Set the direction to train and knowledge sharing on standard, process and guidance
• Contribute comments on internal policies, regulations, processes by related units
3.5. Risk data and system
• Drive a culture or responsible data use through data governance
• Develop and deploy techniques and methodologies for data mining and data collection
• Set the direction for system versioning monitoring related to quantitative risk model
• Define resources (data, models, systems, ..), technologies and systems serving the deployment of models for risk assessment and monitoring
3.6. MLR Transformation
• Set the direction for RvàD of new technology/tool can be applied for MR, LR, IRRBB, CCR as AI/ML, Fintech technology…to optimize model performance, risk analytics quality
• Lead for RvàD of new quantitative modeling and quantification approach, best industry practice that can be applied for MR, LR, IRRBB, CCR to optimize model performance and risk analytics quality
4. Other tasks
• Organize and complete other tasks assigned by Head of center
• Join projects when required

Success Profile - Qualification and Experiences

Work Experience:
- Minimum 07 years of experience in Banking in which minimum 8Y of experience in MR, LR, IRRBB and CCR 
- Minimum 03 years of experience in quantitative modeling, risk model developement and model validation
- Experience in management for 03 years or more
Functionals knowlegde
- Understanding of banking activities, the activities througout interbank market and
- Understanding of financial market products
- Understanding the regulations/operating process in Market risk, IRRBB, LR and CCR
- Understanding the International Regulations and industry practices on Risk Management (Basel, EBA, FED,...)
Qualification:
- Bachelor's degree or higher, major in Financial risk management / financial math / quantitative finance/numerical methodologies or equivalents)
- Being trained at university or graduate level in these fields is advantageous in developed countries.
- Having an internationally recognized certificate in financial analysis, financial risk management is an advantage (eg, FRM, CFA, PRM, CPA, ...)
- Business English standard of proficiency as required for the role