Analyst Model Risk Validation

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Job Summary

As an Analyst within the team, the expectation will be to perform and review model validations in accordance with the model risk policy, take on a team/project lead role and be accountable for the delivery of work by junior members of the team.

Within validation the incumbent will conduct validations on a diverse range of AGL models, produce validation reports, negotiate the findings & actions with internal and 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, behavioural, application, stress-testing, valuation, derivatives, insurance risk, etc.) and cover products used across all of AGLs business units.

This role is ideal for a candidate that wants to develop multi-dimensional skillset, is looking for a role that provides great visibility within the firm and wants to be in a position that will promote big-picture strategic thinking.

Job Description

Accountability: Model validation/monitoring

• Execute validation/monitoring of models assigned to you by following each step in accordance to the IVU process. Specifically, ensure that all information required for the validation/monitoring is available on time, as received from Model Owner (MO) and/or Model Development (MD).
• Ensure submission and completion milestones have been communicated to relevant stakeholders for the models assigned to you.
• Complete assigned models on time according to the IVU planning schedule.
• Use agreed templates and tools.
• Validate/monitor models in accordance to internal and external requirements (e.g. as set out in the Group Model Risk Policy - GMRP and associated standards, Basel regulations, Prudential Authority - PA regulations long-forms, IFRS9, etc.)
• Produce a report requiring minimum corrections as part of senior analyst / management review.
• Document model recommendations/findings and relevance thereof to model use. Agree resolution actions and resolution timelines with affected counterparties and document these in the report.
• Ensure that all findings that are resolved are evidenced and that you have checked and recorded as such.

 

Accountability: Management of Stakeholder Relationships

• Develop a professional relationship with all stakeholders. These include, but are not limited to, model owners, model developers, and audit.
• Good communication of model findings to all stakeholders.
• Either address (where able and competent) or escalate material concerns or bottlenecks to line manager (or relevant stakeholder) as early as possible to enable actions to be taken pre-emptively.
• On an ongoing basis, interact with internal stakeholders (e.g. model developers, IVU colleagues, model owners, model implementation, business representatives, etc.) to ensure common understanding of findings and concepts.

 

Accountability: Development of Technical and Product Knowledge

• Develop own technical knowledge, regulatory/policy knowledge and softer skills independently from scheduled team training.
• Exposure to diverse range of models across different business areas.
• Identify and escalate any conceptual or big picture risks (incl. changes to the regulatory landscape) in respect of IVU and AGL.
• Strive to receive regular 360 feedback to facilitate sight of blind spots and develop oneself.
• Attend and actively participate in citizenship/training events.
• Ensure simple administrative issues are addressed adequately and within agreed timelines - such as performance review process, completion of assigned training etc.

Education

Bachelor`s Degrees and Advanced Diplomas: Physical, Mathematical, Computer and Life Sciences (Required)

Absa Bank Limited is an equal opportunity, affirmative action employer.