Model Validation Senior Risk Manager

3 days ago


Fatih, Istanbul, Turkey QNB Türkiye Full time

Responsibilities

  1. Managing the model risk management and executing the validation process for the Bank's Risk Management and Internal models; such as IFRS9 ECL models, Banks' credit rating/scoring and IRB models, Market Risk/ALM models etc.
  2. Carrying out validation of the Internal Capital Adequacy Assessment Process (ICAAP) of the Bank.
  3. Performing monitoring tests that are oriented at measuring performance and stability of the models.
  4. Evaluating model objective and philosophy, data set, model design, model calibration, documentation, population representation ability of the model, resolving power and risk estimation performances of the models and stability of the model outputs.
  5. Preparing the policy and procedures containing the methods, business steps and documentation to be used in the model validation.
  6. Researching international best practices and academic studies on model development and implementation processes and informing the senior management.

Qualifications

  1. At least 7-8 years' of experiences.
  2. Proficient and experienced in validation of IFRS9 expected loss models (PD, LGD, EAD), Banks' credit rating/scoring and IRB models and any other behavioral models.
  3. Experienced in qualitative and quantitative validation studies for analytical models used in measurement and pricing of the credit, market and operational risks at the Bank.
  4. Knowledgeable and skilled in creating model inventory and validation documentation processes.
  5. Practised in validation of the Internal Capital Adequacy Assessment Process (ICAAP) of the Banks.
  6. Advanced SQL, Python, SAS (EG, Miner, ECL) Knowledge; Additional data mining tools would be a plus.
  7. Proficiency in Turkish and English.
  8. Good communication skills and attitude for teamwork.
  9. Good research skills, open for learning and development, acute attention to details.
Seniority level

Mid-Senior level

Employment type

Full-time

Job function

Finance, Project Management, and Consulting

Industries

Banking, Financial Services, and Capital Markets

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