VP, Credit Risk Model Validation
Core
Lead independent validation of credit risk models (PD, LGD, EAD, stress testing, IFRS 9) across retail, corporate, and wholesale portfolios to ensure robustness and regulatory compliance.
Role type
VP, Credit Risk Model Validation
Builds
Independent quantitative and qualitative assessments of model soundness, design, and outcomes for enterprise risk management.
Domain
Banking / Credit Risk / Quantitative Finance
Deliverable
production ML models
Required skills
Credit risk modeling (PD, LGD, EAD), Statistical methods, Regulatory frameworks (Basel, IFRS 9, MAS), Python, R, SAS, Excel VBA, Model validation planning, Back testing, Sensitivity analysis
Preferred skills
Ph.D. in quantitative field, Experience with vendor-developed models, Advanced quantitative finance knowledge
Technologies
Python, R, SAS, Excel VBA
Responsibilities
Conduct independent validation of credit risk models; Provide challenges to model aspects (assumptions, design, data); Develop validation plans with quantitative/qualitative analyses; Document findings in validation reports; Communicate results to management and auditors; Stay abreast of regulatory requirements; Collaborate with model development teams; Contribute to validation framework improvement.
Seniority
VP, Strategy & Mentorship
