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27 Jun 2024

Senior Expert, Model Risk Management (40000087)

Category:  Risk Management Division
Job Type: 
Facility:  Risk Management

Job Purpose

- The primary responsibility of this role is to support the Model Risk Management and Validation team to mitigate the model risks under the model governance for the entire bank. The team is responsible to discover and diagnose modeling related risks including input data, assumption, concept, methodology, process and implementation. The team is also responsible to opine on the model strength and weakness and recommend practical solutions.
- Assists in the creation and maintenance of the policies, standards, guidelines, and procedures required to implement the Bank’s model risk management freamwork that covers model and computational tool identification and classification, model development and testing, model documentation, model validation, and model performance monitoring.

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. Model validation:
- Thoroughly and comprehensively review model development documents and model codes as well as conduct quantitative validation tests to identify sources of model risk.
- Discover and diagnose modeling related risks including input data, assumption, concept, methodology, process and implementation
- Present works through formal validation reports, as well as thorough presentations to senior management.
- Discuss validation results with model owners and governance team to gain consensus and create strategies to implement changes and enhancements.
- Provides subject matter expertise on models’ strength and weakness and recommend practical solutions.
- Provide different view on methodology and calculations, and provide feedback to model developers.
- Support the model validation team to mitigate the model risks.
- Utilize express mode validation for new model development, facing legal and compliance related modeling issues, quick model fixes, etc.
- Upskill for technical staff with clear guidance on specific skills required for developers, validators

b. Model Risk Governance:
- Contribute to the development and deployment of the Model Risk Management Framework at the bank, provide support in maintaining the bank model discovery and mode inventory,
- Maintains compliance with applicable rules, regulations, and expectations set by regulators for model risk management including as the bank's model landscape grows and becomes more complex.
- Communicates and escalates matters of significant model risk to senior leaders and business unit managers.
- Assists Model Risk Governance in developing model risk education and delivering education to model stakeholders.
- Raise awareness for senior model stakeholders about model risk and model risk management framework
c. Other duties as required by management leadership
- Build strong working relationship with key model stakeholders

Success Profile - Qualification and Experiences

- At least 10 years of work/research experience in relevant field (Finance, Technology, etc.).
- Prior experience in model development and validation a plus.
- 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

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