Manager Model Risk & Validation (IRRBB and Liquidity Risk)
Core
Manager leading independent validation of Interest Rate Risk in the Banking Book (IRRBB) and Liquidity Risk models to ensure regulatory compliance and financial resilience.
Role type
Manager, Model Risk & Validation (IRRBB and Liquidity Risk)
Builds
Independent validation reports and regulatory compliance evidence for balance sheet risk models
Domain
Banking / Financial Risk Management
Deliverable
production ML models | dashboards & analysis
Required skills
IRRBB modeling, Liquidity Risk (LCR, NSFR), APRA prudential standards (APS 117, APS 210), quantitative analysis, Python, R, SAS, SQL, statistical modeling, model validation frameworks
Preferred skills
1st Line quantitative experience (Treasury, Balance Sheet Trading), postgraduate degree in quantitative discipline
Technologies
Python, R, SAS, SQL
Responsibilities
Conduct end-to-end quantitative and qualitative assessments of IRRBB and liquidity risk models; Act as primary point of contact for APRA regulatory reviews and audits; Collaborate with model owners to deliver actionable validation recommendations; Write and execute parallel code for outcome analysis; Present technical findings to senior management and committees
Seniority
Manager, hands-on IC with senior stakeholder engagement