Analyst Model Validation at Absa Group Limited (Absa)

Job Summary

• The role entails the validation of models (Traded Market risk and Capital models), focusing on identifying, mitigating and monitoring of key model risks. You will conduct validations on a diverse range of AGL 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, pricing, behavioral, application, stress-testing, valuation, derivatives, ML/AI models, etc.) and cover products used across all AGL’s business units. Opportunities to gain experience across validation teams and within the greater Model Risk team are possible and encouraged by management.

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.
• Programming skills in Python or C# must be honed to meet some requirements of the role.

WORK EXPERIENCE & SKILL REQUIREMENTS: 

• A minimum of 3 years of experience in market risk, model risk management, validation, and control
• Proven, relevant experience in markets with good knowledge of the markets, products and risk.
• Good quantitative level of experience with products and their risks.
• Experience with traded market risk models (Delta1, Vanilla Options, Exotics), curve models (OIS, SOFR, ZARONIA, Multicurve calibrations and PnL attributions), volatility models (Local vol models, Local Stochastic vol models – Dupire, Heston, SABR)
• Experience with derivatives pricing models/frameworks and valuation adjustments – Black Scholes, Monte-Carlo methods.
• Experience with Excel, Python, C# and ability to implement/code derivatives pricing models
• High level of accuracy and details understanding whilst able to understand the intricacies of different review levels based on the models’ complexities and materiality.
• Ability to work under pressure in a fast-paced and highly regulated environment.
• Flexibility and willingness to adapt to changing regulatory and business needs.

QUALIFICATIONS: 

• Honours degree in quantitative disciplines such as Economics, Mathematics, Actuarial Science, Statistics, or Financial Engineering
• PhD or MSc Finance/Financial Engineering/Mathematical Finance can be useful.
• Additional qualifications such as CQF and/or FRM can be useful.

Education

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