Model Risk Management Specialist

As a Model Risk Management Specialist, you will support the Principal Model Risk Management Specialist in the roll-out of the Model Governance Framework (MGF) to all departments and offices of ADB. You will (i) implement best practices for model risk governance in ADB; (ii) identify and manage ADB’s model risk inventory; (iii) develop policies, processes, and methodologies for model review and validation; (iv) carry out independent model validation and (v) report, as necessary, to senior management and the Board.

You will:

 Model Risk Governance:

• Maintain and operate the model risk governance framework (MGF) and model governance structure.
• Support the implementation of the MGF to all departments and offices, especially to the private sector operations.
• Periodically review results of models’ performance monitoring and validation, including implementation of remedial actions, provides recommendations to model owners and Model Risk Committee (MRC).
• Escalate model review and validation findings to the Model Risk Committee.
• Support in the communication, coordination and preparation of updates for MRC and the ADB Risk Committee.
• Manage ADB´s model inventory. Establish requirements specific to the model inventory and to support semi-annual attestations across ADB.
• Review functionalities of all models with an objective to avoid unintentional model duplication in the organization.
• Resolve inquiries from model stakeholders and owners on model inventory, model review and validation processes.
• Report operational risk incidents and near misses pertaining to models in line with operational risk reporting requirements.
• Review proposed policies, processes, and guidelines to ensure their compliance with ADB requirements and best practices.

Knowledge Sharing:

• Maintain knowledge of emerging best practices and standards in model governance, model review and validation.
• Provide support in organizing and conducting training to promote an appropriate risk culture in ADB.
• Contribute to formulation of ADB policies, guidelines and practices on risk and portfolio management
• Liaise with other multilateral development banks in sharing of information and knowledge on policies, methodologies, and related techniques.

Staff Supervision:

• Provide leadership and support to Junior team members.
• Oversee the performance of your team members, providing clear direction and regular monitoring and feedback on performance.
• Coach and mentor reporting staff and ensure their ongoing learning and development.

Qualifications:

You will need:

• A University degree in Computer Science, Mathematics, Engineering, Finance, Economics, Statistics, or related fields; preferably at post-graduate level or its equivalent.
• At least 6 years of relevant international experience in a similar setting e.g. international financial institution, international bank, or other similar institution.
• Strong model development and validation experience.
• Working knowledge of financial theory; risk related models (credit, market, operational and liquidity etc.), capital (economic capital, regulatory capital) and stress testing models, pricing, and valuation models etc.
• Background on methodologies used in private sector financing arrangements (e.g. private equity investments, loan syndications) is preferred.
• Good knowledge of statistical analysis techniques, pertaining to risk modeling, particularly in wholesale credit risk, market risk and operational risk modeling.
• Strong project management and execution skills, including the ability to effectively drive complex, multifaceted initiatives to conclusion within demanding timeframes.
• Ability to convey complex concepts and outcomes to non-subject matter experts.
• Excellent oral and written communication skills in English.
• Experience and track record in public speaking and presentation.
• Effective time management to efficiently deliver concurrent projects with overlapping tasks.
• Ability to collaboratively work with model owner/sponsor counterparts.
• International experience working in several countries.

Source: https://www.adb.org/careers/250137