Senior Analyst Model Validation (Vp)

Senior Analyst Model Validation (VP)Apply remote type Hybrid locations Sandton time type Full time posted on Posted 2 Days Ago time left to apply End Date: January 13, 2025 (27 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 of 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 (Regulatory Capital, Economic Capital, impairments, pricing, behavioral, application, stress-testing, valuation, derivatives, insurance risk, etc.) and cover products used across all of AGL's business units. Opportunities to gain experience across validation teams and within the greater Model Risk team are possible and encouraged by management.
Job Description Accountabilities: Validate and execute validations assigned to you by following each validation stage in accordance with the IVU process.Set up feedback sessions/checkpoints, implement all feedback, or acknowledge and reason why feedback was not implemented.Complete validations on time according to the IVU planning schedule.Use agreed validations templates and tools (IVU process, validation report template, submission requirements table, GMRP, validation tests).Validate models in accordance with internal and external requirements.Strive for a computationally accurate validation analysis which does not require recalculation as part of management review.Focus on Critical, Major, Moderate (CMM) findings and minimize the number of CMM findings missed as part of the validation.Ensure that all findings that are resolved are evidenced and that you have checked and recorded as such.Give input into the following processes: Prudential Authority Self-Assessment, Audits, etc.Review the calculation of Post Model Adjustments (PMAs) and Capital Adjustments made to regulatory capital and IFRS9 models.Deliver ad-hoc and management requests timeously and to the required standard of quality.Either address or escalate material concerns or bottlenecks to VL/VS (or relevant stakeholder) as early as possible.Constructively challenge models and related processes.On an ongoing basis, interact with internal stakeholders to ensure common understanding of findings and concepts.Guide internal counterparties through relevant regulatory, policies, standards, sites and governance requirements.Contribute to the technical and strategic decisions/discussions in meetings, knowledge share sessions, business meetings, committees and forums.Clearly document model validation recommendations/findings and relevance thereof to model use and portfolio decision making.Strive to produce a quality validation report requiring minimum corrections as part of management review.Ensure that MRM, for models used in Absa Group, is updated after inception and periodic validations.Seek to develop one's technical knowledge, regulatory/policy knowledge and softer skills independently from scheduled team training.Share own knowledge on informal and formal basis; support team's overall development.Strive to perform the validation work required through the VA, and not just through own competence.Create a positive, engaging and challenging working environment.Drive best practice sharing and standardization across Absa Group.Proactively identify and escalate any conceptual or big picture risks in respect of IVU and Absa Group.Facilitate investigation and implementation of controls within other units to maximize early detection and mitigation of model risk.Strive to receive regular 360 feedback to facilitate sight of blind spots and develop oneself.Deliver independently from management oversight. Actively seek to understand management and stakeholders need first, communicate to be aware of changes in needs and deliver to meet these needs.Attend and actively participate in citizenship/training events.Deliver and support manager on ad hoc requests.Ensure simple administrative issues are addressed adequately and within agreed timelines.Behaviorally, focus on the following:Be objective and factual in terms of one's opinion/communications.Be open-minded in interactions. Be prepared to listen and be challenged.Be supportive and helpful.Be risk-focused.Understand stakeholders' needs.Deliver through people and not just through own competence. Drive individual and team development through training, support and individual's overall development.Ensure validations assigned to you, as validation lead, follow each validation stage in accordance to the IVU process.Accountability for project milestone, control and outcome management.Provide guidance to validation team members performing validations. Be consistent in terms of guidance and standards.Review validation tests as completed by VA and ensure all testing areas are adequately assessed.Review validation reports for completeness, accuracy and relevance, ensuring a quality report requiring minimum corrections as part of VS review.Understand my role in the business end to end processes, including applicable risks and controls.Adhere to Absa frameworks, policies and procedures applicable to my role, demonstrating sound judgement and responsible risk management.Report all risk events/incidents/issues immediately upon discovery.Help to understand why risk events/incidents/issues happened and identify how to prevent them in future.Identify the model risks as part of the model validation review.Challenge the model assumptions where necessary based on the lifecycle of the model.Design materiality assessments and monitoring with Quant Risk team.Develop a holistic approach in the model representation.Propose limitations and discuss the resolutions with the Quant Risk, Business and Product Risk.Perform performance review of the model as per the tests defined in the model.Ensure proper documentation, version control, and validation of models to maintain a clear audit trail.Prepare reports and presentations for senior management, auditors, and regulatory bodies regarding model risk, performance, and compliance.Strong relationship management and liaison with business stakeholders of all levels.Must be dedicated to information integrity and to producing high quality and insightful output.Good presentation and communication skills, with the ability to present complex model risk findings and propose resolution pragmatically.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.Experience with regulatory frameworks relevant to Market Risk.Experience with derivatives pricing models/frameworks and valuation adjustments.Exposure analytics and simulations.Experience with Excel, Python, C#.High level of accuracy and details understanding.Ability to work under pressure in a fast-paced and highly regulated environment.Flexibility and willingness to adapt to changing regulatory and business needs.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.Additional qualifications such as CQF and/or FRM can be useful.Education Bachelor`s Degrees and Advanced Diplomas: Business, Commerce and Management Studies (Required)
Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of 1998, preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank. Absa Bank Limited reserves the right not to make an appointment to the post as advertised.

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