Senior Analyst Model Validation (VP)
Apply Remote Type: Hybrid
Location: Sandton
Time Type: Full time
Posted on: 2 Days Ago
End Date: November 15, 2024 (5 days left to apply)
Job Requisition ID: R-15969205
Empowering Africa's tomorrow, together…one story at a time. With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.
Job Summary The role entails the validation of models, focusing on identifying, mitigating, and monitoring key model risks. You will conduct validations on a diverse range of models mainly traded market risk models, produce validation reports, negotiate the findings & actions with internal & external stakeholders, and influence the continuous improvement of model quality & use. These areas make use of a wide range of models and cover products used across all of AGL's business units.
Job Description Accountabilities: Validate and execute validations assigned to you by following each validation stage in accordance with the IVU process. Complete validations on time according to the IVU planning schedule. Validate models in accordance with internal and external requirements. Deliver ad-hoc and management requests timeously and to the required standard of quality. Constructively challenge models and related processes. Engage with stakeholders to get their perspective. Clearly document model validation recommendations/findings. Ensure validations assigned to you follow each validation stage in accordance with the IVU process. Report all risk events/incidents/issues immediately upon discovery. Identify the model risks as part of the model validation review. Propose limitations and discuss the resolutions with the Quant Risk, Business, and Product Risk. Work Experience & Skills Requirements: Proven, relevant experience in markets with good knowledge of the markets, products, and risk. A minimum of 6-8 years of experience in market risk, model risk management, validation, and control. Good quantitative level of experience with products and their risks. Experience with traded market risk models and regulatory frameworks relevant to Market Risk. Experience with derivatives pricing models/frameworks and valuation adjustments. Ability to work under pressure in a fast-paced and highly regulated environment. Qualifications: Honours degree in quantitative disciplines such as Economics, Mathematics, Actuarial Science, Statistics, or Financial Engineering. PhD or MSc Finance/Financial Engineering/Mathematical Finance can be useful. Absa Bank Limited is an equal opportunity, affirmative action employer.
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