VP, Credit Risk Model Validation
Core
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 (Senior IC with strategic oversight)
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, quantitative analysis, regulatory knowledge (Basel, IFRS 9, MAS), Python/R/SAS/Excel VBA proficiency, model validation planning, back testing, sensitivity analysis, benchmark comparisons.
Preferred skills
Experience with model development frameworks, stress testing methodologies, enterprise risk management policies.
Technologies
Python, R, SAS, Excel VBA
Responsibilities
Conduct independent validation of credit risk models; challenge model aspects including assumptions and design; develop and implement validation plans; document findings and recommendations; communicate results to management and auditors; stay abreast of regulatory requirements; collaborate with model development teams; contribute to framework improvement.
Seniority
VP, strategic leadership with hands-on validation