Senior analyst - model validation

Descripción del cargo

Purpose

The Global Model Risk Management area provides independent and consistent model validation and approval across various risk types, including market risk, retail/non-retail credit risk, operational risk, capital models, Anti Money Laundering (AML) and other key risk/financial models.

The senior analyst provides support to manager/senior manager in the validation of models and strategies, which may include Canadian and International retail/non-retail credit adjudication and behavior, credit retail strategies, AML, Fraud, or Market Risk Capital. This position entitles activities related to model validation work including data management and model quality assurance testing/validation to establish overall soundness of the risk measurement, delivery of various ad-hoc validation assignments, collaboration with the model development teams and business lines, and communicating results to model owners ensuring compliance with internal framework and regulatory requirements. He/she may also communicate and negotiate with the different counterparties regarding issues identified during the validation.


Accountabilities

• Execute validations for models and strategies across one or more risk domains, which may include:
Retail/non-retail credit adjudication and behaviour, retail credit strategies (adjudication, behaviour,
collections), AML models (e.g., transaction monitoring, customer/client risk rating, screening), Fraud,
market risk and counterparty credit risk capital models, stress testing, and trade surveillance.
• Conduct comprehensive review of the data processing, including the independent replication of data extraction and data manipulation steps, as well as assessing the suitability and sanity of the data sources.
• For the model being validated, review the methodology implemented for reasonableness and applicability, assess soundness of model methodology, review the architecture of the software application implementing the model, perform quantitative tests and qualitative assessments of the model, execute independent calculations, and analyze/interpret model output.
• Raise and effectively communicate the validation results and findings to the model owners, prompting appropriate action to address the identified deficiencies in data or modelling processing, which may lead to model recalibration and methodology enhancement.
• Responsible for completing draft validation reports and submission of all necessary documentation related to validation assignments to Manager/Senior Manager; ensure accuracy and completeness of archived information and related documentation to allow independent third-party review of the validation work performed.
• Establish communication with model owner/developers to understand model rationale and issues; maintain relationship with key contacts as identified for each validation.
• Maintain collaborative relationship with clients
• Provide support to Senior manager to respond to ad hoc, regulatory and audit requests.
• Recommend and enforce improvements to tests/methods to fulfill internal validation needs and to align (if applicable) with industry practices
• Support Senior Manager in keeping the inventory system updated
• Comply with internal policies, procedures, and regulatory requirements where applicable.
• Provide support to resolve outstanding audit and regulatory issues, and to respond to ad hoc senior management and regulatory requests.