VP - Model Risk Management

10 hours ago


bangalore, India Client of Mancer Full time

Role OverviewThe Model Validation Analyst/Manager is responsible for independently validating risk models used across the bank’s Credit Risk and Market Risk functions. This includes assessing model methodology, assumptions, data quality, performance, and regulatory compliance to ensure models are robust, reliable, and fit for purpose.Key ResponsibilitiesIndependently validate Credit Risk models (PD, LGD, EAD, Scorecards, IFRS 9/CECL) and Market Risk models (VaR, SVaR, Expected Shortfall, Stress Testing, FRTB models).Assess model design, conceptual soundness, statistical techniques, calibration approach, and underlying assumptions.Review input data quality, conduct back-testing, benchmarking, sensitivity analysis, and model performance monitoring.Develop comprehensive validation reports, model risk assessments, and challenge papers for stakeholders and regulators.Ensure alignment with regulatory requirements such as Basel II/III/IV, SR 11-7, OCC/FRB guidelines, IFRS 9/CECL standards, and FRTB for market risk.Partner with Model Development, Risk, Audit, and Regulatory teams to present validation results and challenge model enhancements.Establish model monitoring frameworks and periodic validation routines.Required Skills & QualificationsStrong understanding of credit risk modelling (PD, LGD, EAD), market risk models (VaR, ES, Greeks), and stress testing methodologies.Proficiency in statistical and quantitative techniques—regression, time series, machine learning basics, Monte Carlo simulations.Hands-on experience with Python, R, SAS, SQL for model testing and analysis.Knowledge of Basel framework, IFRS 9/CECL, FRTB, and global model risk guidelines (e.g., SR 11-7).



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