Model Validation

1 day ago

Bangkok, Bangkok, Thailand Kiatnakin Phatra Bank Public Company Limited Full time

Role and Responsibilities / หน้าที่ความรับผิดชอบ:

· Perform model validation activities of all models deemed in-scope by the model validation guideline.

Following guidelines based on Model risk management principles, to include an assessment of model

usage, documentation, model design, conceptual soundness, data integrity, model verification, and the

analysis of outcomes

· Perform pre-approval validation for a wide range of model types according to development/redevelopment

plan

· Evaluate model performance monitoring reports and performing on-going monitoring and periodic

validation on the approved model

· Prepare detailed reports describing the mathematical analytics of the model, validation techniques

employed, test results obtained, and any model issues and limitations noted

· Prepare Management summaries highlighting the outcome of the validation process for each model and

outlining recommendations for approval or further improvements

· Present work through model validation reports, as well as through presentations to model owners and

senior management

· Support Implementation testing in Complex systems such as Treasury, Credit loan acquisition, Fraud

application

· Research advancements in quantitative techniques, model development methodologies, model testing

approaches, and related regulatory requirements

· Work effectively as a team member with other quantitative analysts at the company, as well as with

external consultants

· Stay up-to-date in the knowledge of credit risk management model methodologies, market risk

management model methodologies, liquidity risk management model methodologies, predictive modeling,

and statistical analysis

Qualifications / คุณสมบัติ:


• High caliber Bachelor's degree or Master's degree in finance, economics, statistics, financial engineering or

related field


• Strong quantitative skills with excellent interpersonal skills


• Sound knowledge of financial analysis techniques and methodologies, data mining, financial products and

statistical analysis


• Computer literacy and proficiency in common desktop business applications


• Proficient with statistical analysis and modeling tools, such as SAS, Python, VBA, VB.NET is a plus;


• Must possess good judgment, logic, ability to multi-task and strong personality


• Must be able to perform well under pressure


• Experience validating/modeling IFRS9 Impairment models, or Overnight index swaps and Exotic derivatives

pricing/valuation models preferred

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