Senior Analyst Model Validation (VP)

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.

Risk and Control: Comply with Absa’s Model Risk Governance, adhere to Policies, Procedures and Regulations and to ensure that our models perform as expected throughout their life cycle, identify limitations of our model and perform adequate monitoring if required. This position is instrumental in ensuring that we adhere to our governance on models, identify any shortcomings in our models, document our reviews, work with the Quant and Market Risk teams to define resolution & / or monitoring of our limitations. In addition, the Senior Model Risk Analyst will build further knowledge on the models, the asset dynamics, trading strategy and will periodically assess the model changes in line with market dynamics and regulatory landscape changes.

Risk Management: Providing Subject Matter Expertise to Risk types

Stakeholder Management: Build and Maintain effective Relationships with relevant stakeholders

Risk Reporting: Identify, assess and Report key risks arising from significant events, investigations, audit and control issues

Job Description

Accountabilities:

• Validate and execute validations assigned to you by following each validation stage in accordance with the IVU process. Specifically, ensure that timeous and complete validation submissions are received from MO/MD.
• Set up feedback sessions/checkpoints, implement all feedback, or acknowledge and reason why feedback was not implemented (consider amount of feedback / manager involvement).
• 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 (e.g. GMRP and associated standards, Basel regulations, Prudential Authority regulations, IFRS9).
• 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 (where able and competent) or escalate material concerns or bottlenecks to VL/VS (or relevant stakeholder) as early as possible to enable actions to be taken pre-emptively.
• Constructively challenge models and related processes. Engage with the stakeholders to get their perspective.
• On an ongoing basis, interact with internal stakeholders (e.g. model developers, Absa Group IVU colleagues, model owners, model monitoring, model implementation, business representatives, etc.) 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. Agree resolution actions and resolution timelines with affected counterparties and document these i