VP, Credit Risk Model Validation
UOB · Central Region, Singapore +1 · 1mo ago
About UOB
United Overseas Bank Limited (UOB) is a leading bank in Asia with a global network of more than 500 branches and offices in 19 countries and territories in Asia Pacific, Europe and North America. In Asia, we operate through our head office in Singapore and banking subsidiaries in China, Indonesia, Malaysia and Thailand, as well as branches and offices. Our history spans more than 80 years. Over this time, we have been guided by our values – Honorable, Enterprising, United and Committed. This means we always strive to do what is right, build for the future, work as one team and pursue long-term success. It is how we work, consistently, be it towards the company, our colleagues or our customers.
Job Description
Risk Analytics Division is the Group's centralized independent validation team that validates all credit, risk quantifications and valuation models. The Risk Analytics Division primary functions include 1) Ensuring a robust internal validation system, 2) Validating new internally developed and vendor-developed models and 3) Conducting annual validation of existing models. The team conducts comprehensive independent validation of various risk models, including but not limited to IFRS 9, credit risk, liquidity risk and stress testing models by 1) providing independent quantitative and qualitative assessment on all model related aspects, 2) highlighting to management the areas of risks and weaknesses and 3) provide regular advice on enterprise risk models to counterparts in the regional subsidiaries.
Job Responsibilities
- Conduct independent validation of a wide range of credit risk models, including PD, LGD, EAD, stress testing, and IFRS 9 models, across various portfolios (retail, corporate, wholesale).
- Provide effective challenges to all model aspects including theoretical / conceptual soundness, model assumptions, model design, data inputs, modeling process, and model outcomes.
- Develop and implement comprehensive validation plans, including quantitative and qualitative analyses, back testing, sensitivity analysis, and benchmark comparisons.
- Document validation findings, limitations, and recommendations clearly and concisely in validation reports.
- Effectively communicate validation results and recommendations effectively to model developers, model owners, senior management, and internal/external auditors.
- Stay abreast of industry best practices, regulatory requirements (e.g., Basel, IFRS 9, MAS), and emerging trends in model risk management and quantitative finance.
- Collaborate with model development teams to understand model methodologies and provide constructive feedback for model enhancements.
- Contribute to the continuous improvement of the model validation framework, policies, and procedures.
- Participate in ad-hoc projects related to model risk management and quantitative analysis as required.
Job Qualifications
- Undergraduate, Master's or Ph.D. in a quantitative field such as Financial Engineering, Mathematics, Statistics, Physics, Economics, or Computer Science.
- Minimum of 2-5 years of experience in credit risk model validation, model development, or quantitative risk management within a financial institution.
- Strong understanding of credit risk modeling techniques, statistical methods, and quantitative analysis.
- Proficiency in programming languages such as Python, R, SAS or Excel VBA.
- Familiarity with regulatory requirements related to model risk management (e.g., Basel III, IFRS 9, MAS guidelines).
- Excellent analytical, problem-solving, and critical thinking skills.
- Strong written and verbal communication skills, with the ability to articulate complex technical concepts to both technical and non-technical audiences.
- Ability to work independently and as part of a team in a fast-paced environment.
- High level of attention to detail and commitment to accuracy.
Additional Requirements
Be a Part of the UOB Family
UOB is an equal opportunity employer. UOB does not discriminate on the basis of a candidate's age, race, gender, color, religion, sexual orientation, physical or mental disability, or other non-merit factors. All employment decisions at UOB are based on business needs, job requirements and qualifications. If you require any assistance or accommodations to be made for the recruitment process, please inform us when you submit your online application.
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