Analyst Model Validation

6 months ago

Johannesburg, South Africa Absa Bank Limited Full time

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

**Job Description**:
Key Accountabilities

End-to-End Validation of Assigned Models across AGL
- Obtain the required model documentation from the model developer and model owner. Ensure that the documentation is sufficiently detailed to allow a qualified independent party to replicate the model, understand its business scope and use, explain the main model assumptions and limitations, describe the tests performed by business, highlights the various stakeholders and any model monitoring approaches.
- Ensure that business provides IVU with a testable implementation of the model. Confirm that you can run the model and produce the model outputs outlined in the model documentation.
- Review the documentation and provide business with any initial concerns and identify any significant validation requirements that might delay the validation process (such as the build of challenger models).
- Discuss estimated timelines with business and line manager.
- Record the various stakeholders and model details in the Group Models Database (GMD). The model status at this point will be submitted.
- Assess the accuracy and appropriateness of the data used.
- Review the design and theoretical soundness of the model. Assess if this is applicable for the specified model scope and use.
- Confirm that the model was implemented according to the model documentation.
- Review the model monitoring results or the appropriateness of the intended monitoring approach.
- Assess the model against internal policies and standards as well as any regulatory requirements
- Identify any model limitations or shortcomings that will negatively impact the outputs of the models. Ensure that these are identified early in the validation process and discuss with business to ensure that your concerns are valid.
- Recommend any remedial actions to compensate for any identified model shortcomings during the validation process. Assign a level of significance to the findings.
- Ensure quality and timeous delivery of the scheduled validations and that validation documentation is in line with the requirements outlined in the validation standard.
- Submit validation report for line manager review and sign-off
- Arrange business meeting to discuss validation report with various stakeholders
- Submit validation report to Model Approver. Attend model approval committees if required and present validation findings to committee.
- Update the GMD model entry to ensure that the model is compliant with the BAGL GMD Standard. Obtain Model Owner sign-off.
- Plan periodic validations of models and ensure that you obtain the required model information well in advance. Follow up with business around annual model reviews and escalate where necessary.

Management of Stakeholder Relationships
- Maintain a professional relationship with all stakeholders. These include, but are not limited to, Model Owners, Model Developers, Model Approvers and Audit.
- Effective communication of model validation findings to all stakeholders.
- Ensure that all concerns are communicated as early as possible and that these concerns are relevant and material.
- Provide sufficient and constructive challenge to proposed concepts and ideas.

Development of Technical and Product Knowledge
- Required to proactively increase technical skills through active research and independent implementation of challenger models.
- Exposure to diverse range of models across different business areas.
- Be involved with new developments and initiatives within the bank.
- Actively manage soft skills development.
- Be involved in regular knowledge share sessions facilitated by the Model Risk Team.
- Provide assistance to research projects conducted by students from different universities.

Education

Bachelor's Degrees and Advanced Diplomas: Physical, Mathematical, Computer and Life Sciences (required)
- Absa Bank Limited reserves the right not to make an appointment to the post as advertised_

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