Vice President - Counterparty Credit Risk - Model Validation

Description:

• Lead Independent Validation:
• Manage end-to-end validation of CCR models, including Monte Carlo exposure simulation engines, netting and collateral models, CVA/XVA pricing engines.
• Challenge modelling assumptions, mathematical frameworks, calibration, and stress testing approaches.
• Review model documentation, coding standards, and implementation testing (including independent replication or benchmarking as needed).
• Stakeholder Engagement:
• Communicate validation findings to model owners, governance committees, and senior management.
• Influence model risk policy and contribute to model governance frameworks.
• Documentation and Governance:
• Deliver high-quality model validation reports and executive summaries aligned with internal policy and regulatory guidance (e.g., Basel III, CRD IV, PRA SS 1/23).
• Ensure models are appropriately categorized and inventoried within the bank's Model Risk Management framework.
• Mentorship and Oversight:
• Provide technical guidance to junior validators and support their development.
• Lead peer reviews and contribute to continuous improvement of validation standards.
• Ongoing Monitoring and Risk Review:
• Periodic review of model performance and validation of model changes.
• Contribute to risk committees and raise controls on model limitations and assumptions.