Natural Catastrophe Modeler - Development/Validation (8-14 yrs)

Principal responsibilities

- Undertake model validation activities as dictated by the Global Model Risk Policy including the assessment of; model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model.

- Provide written reports detailing the results of validations highlighting issues identified during the validation.

- Validate remediation activities completed by the ILOD to ensure appropriate resolution of identified issues.

- Work with relevant stakeholders to embed new Global Model Risk Policies and Procedures.

- Provide model users, model owners, senior management, audit, and regulators (across 1LOD, 2LOD, 3LOD) with confidence that the models and tools developed, maintained, and used within the Group are compliant with internal and regulatory expectations and fit for the intended purpose.

- Participate at Governance Forums as required.

Leadership & Teamwork

- Provide functional leadership for a small team of Model Validators operating across geographies and thecompany matrix.

- Support the recruitment and retention of junior colleagues and provide coaching and guidance.

- Lead model validation activities including planning and stakeholder management.

- Deliver, high quality, timely validation reports that add value to the business.

- Liaise with 1LOD and other model stakeholders as appropriate to ensure issues have been adequately resolved.

- Communicate across technical quantitative, business and strategic levels to ensure that stakeholders understand the implications of model risks and limitations.

- Support the interaction with Group Internal Audit on model related audits, MSIIs and audit issues and ensure oversight on the implementation of any audit recommendations.

- Participate in engagements with Regulators as required to evidence robust independent challenge of models used.

- Contribute to management, regulatory, and external confidence in all models used across the group.

Qualifications

- Candidate should have experience of quantitative and qualitative research with focus on ESG and Climate Risk model validation. This covers ESG and Climate Risk models including Climate Change simulation models, counterparty-level transition & financial models, nature hazard models, physical risk models, climate scenario models, emission pathway models and ESG scorecards across various lines of business.

- Candidate should be able to assess model design, assumptions and limitations. Formulate independent opinions with respect to inherent model risks and implications in its use cases.

- Candidate should have worked on Credit (retail or wholesale) or market risk model validation. Candidate should have basic understanding of different banking portfolios such as Credit Cards, Mortgage, PIL, Corporate, NBFI etc. He/she should be able to validate models used for different regulatory perspective such as OCC/FRB, EBA Guidelines and PRA regulations.

- Candidate with climate model risk knowledge and/or certification like GARP SCR will be preferred.

- Enthusiasm for proactively seeking, exploring and developing use cases for new data and/or tools/wider industry trends

- Candidate should be able to go through vast range of documentation and come up with concise set of questions highlighting model risk in the model.

- Excellent written and verbal communication skills. Ability to develop and effectively communicate complex concepts and ideas.

- Detailed knowledge of Risk models, performance metrics and risks and associated issues.

- Detailed knowledge of internal procedures and local regulations and those of other country regulators would be an advantage

Experience:

- Minimum 5-10 years of experience of financial model validation/development experience in Risk Management.

- Experience with strong statistical modelling software/programming language e.g., Python, SAS, R, VBA, MATLAB

- Experience of developing and reviewing models throughout the customer lifecycle.

- Experience of presenting recommendations to Senior Management.

- Experience of conducting independent model reviews.

Skills:

- Ability to present complex statistical concepts and results to non-technical audiences in a persuasive and compelling manner.

- Team-oriented mentality combined with ability to complete tasks independently to a high-quality standard.