Model Validator IRRBB & ICLAAP
Core
Independently validate Interest Rate Risk in the Banking Book (IRRBB) and Internal Capital Adequacy Assessment Process (ICLAAP) models to ensure they are fit for purpose and manage model risk.
Role type
Model Validator (Financial Risk)
Builds
Independent validation reports and findings for global banking models
Domain
Banking / Financial Risk Management
Deliverable
production ML models
Required skills
Quantitative modeling, regulatory expertise, Python/R programming, statistical analysis, risk measurement, model challenge, report writing
Preferred skills
Agile methodology, automation initiatives, coaching junior staff, innovation mindset
Technologies
Python, R, Hull-White model, NPVaR, RRaR, NIIaR
Responsibilities
Conduct timely, high-quality model validations in line with external regulations and internal policies; Challenge 1st MLoD on their level of model risk; Prepare validation reports and present findings to committees and stakeholders; Participate in thematic reviews and provide expert advice on model risk issues; Support the development and implementation of innovative validation frameworks and automation initiatives; Collaborate with colleagues across chapters and locations to ensure consistency and share best practices; Maintain constructive relationships with internal teams and external stakeholders (regulators, auditors).
