Model ValidatorCreditRisk

Functional Area: Credit Risk

Assignment :

• To provide an independent assessment of the discriminatory power and appropriateness of an internally developed tool having a Customer Risk Grade mathematical model at its center, including qualitative and quantitative aspects, conducted by an independent validation in accordance with the Model Risk policy of the bank
• Provide recommendations on possible improvements & future enhancements of the tool and the model, both in terms of functionalities as well as applicability in risk processes and credit lifecycle phases

Key Responsibilities:

• Conduct independent quantitative model validation/review assessing model inputs, methodology & output in accordance with the Model risk policy of the bank
• Conduct independent qualitative assessment of the model in accordance with the Model Risk policy of the bank
• Based on the analysis identify the model deficiencies and suggest model improvements
• Produce a model validation report including an advice as to what extent the model can be considered fit for the purpose of assessing the creditworthiness of the clients
• Assist in benchmarking the tool/model against current market practices
• Assist in providing recommendations on possible future enhancements to the model considering market standards, current challenges and future ambitions

Credit Risk Domain Knowledge:

• Customer Risk Grading & Credit Risk Modelling (PD/LGD/EAD), Basel IRB Models
• Credit risk processes involved in the credit lifecycle for commercial banking clients

Contract

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