Model Risk Validation Manager
FULLERTON FUND MANAGEMENT COMPANY LTD.
Banking and Finance
S$6000 - S$16000
This role will report directly to the Head of Investment Risk & Model Risk Validation. The investment risk team is an independent function responsible for formulating and implementing sound investment risk strategies to manage investment risk, performing ongoing monitoring on investment risk to ensure compliance with applicable risk limits. The model risk validation function within the investment risk team is an independent function responsible for establishing robust risk management framework as the second line of defense in Fullerton.
Key Duties and Responsibilities
- Work with internal stakeholders to establish a model governance framework for Fullerton, including model definition, model inventory, model tiers for prioritization, ongoing review, documentation required, etc.
- Model validation responsibilities include reviewing model methodology, assumptions, parameters and output to form an opinion including any recommendations to be implemented by model owners
- Document model review and validation outcome at inception and ongoing review
- Perform source code review to ensure model is implemented as per intended (where applicable for model validation)
- Work on ad-hoc initiatives
- Post graduate degree in a quantitative discipline (e.g. Quantitative Finance, Financial Engineering, Mathematics, Statistics, Computational Finance, Computer Science)
- Professional certification e.g. FRM, CFA, CQF will be well-regarded
Experience and Skills
- Minimum 5 to 7 years of relevant experience in the investment management or banking industry, of which at least 3 years in the areas of model development, model validation or model risk.
- Familiar with essential quantitative techniques used in financial modelling (e.g. Monte Carlo)
- Strong proficiency in programming languages and databases (Python, SQL, VBA etc)
- Strong written and verbal communication skills, able to present complex models to a diverse range of audience
- Good interpersonal skills and good team player,
- Proactive, independent and fast learner
- Good understanding of investment risk concepts, financial instruments and derivatives.
- Previous experience in AI/ML skills, risk management or valuation roles a plus.
- Competitive and reward for performance
Closing on 08 Jul 2021orview more job listings from this company