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- Maintains, operates, and assists in developing detailed operations' guidelines for the Model risk Governance Framework (MGF) and model governance structure. Periodically reviews results of models' performance monitoring and validation, including implementation of remedial actions; provides recommendations to model owners and Model Risk Committee (MRC).
- Supervises the process of escalation of model review and validation findings to the MRC.
- Prepares updates, supporting materials and presentations for MRC, ADB Risk Committee, senior management, and the Board.
- Monitors ADB ́s model inventory. Assists in establishing requirements specific to the model inventory to support annual attestations across ADB.
- Reviews functionalities of existing, new, and retiring models with an objective to avoid unintentional model duplication within the organization.
- Provides support in resolving inquiries from model stakeholders and owners on model inventory, model review and validation processes.
- Reports operational risk incidents and near misses pertaining to models in line with operational risk reporting requirements.
- Reviews proposed policies, processes, and guidelines to ensure their compliance with ADB requirements and best practices.
- Maintains knowledge of emerging best practices and standards in model governance, model review and validation.
- Provides support in organizing and conducting training to promote an appropriate risk culture in ADB.
- Provides support in developing, implementing, and maintaining policies, guidelines and practices on risk and portfolio management.
- Provides support to RMOD and other ORM divisions, as needed, for unit projects and tasks.
- Assumes ad hoc duties and other forms of assignments, as required.
- Bachelor's degree in computer science, mathematics, engineering, finance, economics, statistics, or related field, preferably with Master's degree or equivalent.
- At least 8 years of relevant experience in a similar setting e.g. international financial institution, international bank, or other similar institution; and at least 4 years of supervisory experience.
- Good model development and validation experience.
- Working knowledge of financial theory; risk related models (credit, market, operational and liquidity etc.), capital (economic capital, regulatory capital) and stress testing models, pricing, and valuation models etc.
- Good knowledge of statistical analysis techniques pertaining to risk modeling, particularly in wholesale credit risk, market risk and operational risk modeling.
- Demonstrated project management and execution skills, including the ability to effectively drive complex, multifaceted initiatives to conclusion within demanding timeframes.
- Ability to convey complex concepts and outcomes to non-subject matter experts.
- Strong English communication skills, including public speaking and presentation experience. Effective time management to efficiently deliver concurrent projects with competing priorities.
- Ability to collaboratively work with model owner/sponsor counterparts.
- Please refer to the link for ADB Competency Framework for National Staff Level 3.
Senior Model Risk Management Officer - Manila, Pilipinas - Asian Development Bank
Paglalarawan
Job Description
Description
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The Senior Model Risk Management Officer (i) implements best practices for model risk governance in ADB; (ii) identifies and manages the ADB model risk inventory; (iii) develops policies, processes and methodologies for model review and validation; (iv) carries out independent model validation, and (v) develops model risk reports and presentations to support ORM, senior management and Board reporting.
The incumbent will report to Director and/or designated International Staff, and may supervise Administrative Staff.
Responsibilities:
Qualifications:
Relevant Experience & Requirements:
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