Manager: Model Risk Validation at Absa Group Limited (Absa)

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, e.g. FRTB, VaR, Leverage Ratio, ISDA SIMM, SACCR, CVA capital, etc
• Economic Capital
• Pricing, valuation, derivatives e.g., Risk neutral framework and models, Multicurves framework, ZARONIA and RFRs, etc.
• Valuation adjustments (xVAs) – CVA, FVA, ColVA, MVA, KVA behavioural, application, stress-testing, 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 
• People Management: The role involves extensive collaboration with Market and Quant Risk team, Senior Risk Managers, Independent Valuations Control, Traders, and other stakeholders with the organization, to ensure that models are robust, well-documented, challenged and remediated when necessary.

Job Description

Key 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 in the validation report.
• Strive to produce a quality validation report requiring minimum corrections as part of management review. Ensure the report is palatable for the intended audience.
• Ensure that MRM, for models used in Absa Group, is updated after inception and periodic validations.
• Seek to develop one’s technical knowledge, regulatory/policy knowledge and softer skills independently from scheduled team training.
• Shares own knowledge on informal and formal basis; support team’s overall development.
• Strive to perform the validation work required through the VA, and not just through own competence.
• Create a positive, engaging and challenging working environment.
• Drive best practice sharing and standardization across Absa Group.
• Proactively identify and escalate any conceptual or big picture risks in respect of IVU and Absa Group.
• Facilitate investigation and implementation of controls within other units to maximize early detection and mitigation of model risk.
• Strive to receive regular 360 feedback to facilitate sight of blind spots and develop oneself.
• Deliver independently from management oversight. Actively seek to understand management and stakeholders need first, communicate to be aware of changes in needs and deliver to meet these needs.
• Attend and actively participate in citizenship/training events.
• Deliver and support manager on ad hoc requests.
• Ensure simple administrative issues are addressed adequately and within agreed timelines - such as PD process, completion of assigned training etc.

Behaviorally, focus on the following:

• Be objective and factual in terms of one’s opinion/communications.
• Be open-minded in interactions. Be prepared to listen and be challenged.
• Be supportive and helpful.
• Be risk-focused.
• Understand stakeholders’ needs
• Deliver through people and not just through own competence. Drive individual and team development through training, support and individual’s overall development.
• Ensure validations assigned to you, as validation lead, follow each validation stage in accordance to the IVU process.
• Set up feedback sessions/checkpoints, implement all feedback, or acknowledge and reason why feedback was not implemented (consider amount of feedback / VS involvement).
• Accountability for project milestone, control and outcome management.
• Provide guidance to validation team members performing validations. Be consistent in terms of guidance and standards.
• Strive for a computationally accurate validation analysis which does not require recalculation as part of management review.
• Review validation tests as completed by VA and ensure all testing areas are adequately assessed.
• Review validation reports for completeness, accuracy and relevance, ensuring a quality report requiring minimum corrections as part of VS review.
• Understand my role in the business end to end processes, including applicable risks and controls and how this improves the service we provide to our customers
• Adhere to Absa frameworks, policies and procedures applicable to my role, demonstrating sound judgement and responsible risk management, and when required highlight breaches and request dispensations & waivers on a timely basis
• Report all risk events/incidents/issues immediately upon discovery and escalate significant events/incidents/issues using the defined process for my business area
• Help to understand why risk events/incidents/issues happened and identify how to prevent them in future - focusing on fixing root causes and taking ownership of identified actions
• Proactively identify ways to improve the control environment by considering what could go wrong in the processes I operate and how errors could be prevented - focusing on fixing root causes and taking ownership of identified actions. Complete all mandatory training to deadline
• Identify the model risks as part of the model validation review.
• Challenge the model assumptions where necessary based on the lifecycle of the model.
• Design materiality assessments and monitoring with Quant Risk team when some limitations can’t be addressed in the model
• Develop a holistic approach in the model representation where some aspects can be mitigated through representation outside the model
• Develop a thorough understanding of physical operational constraints and be able to see how these are represented – when necessary – in the model representation.
• Propose limitations and discuss the resolutions with the Quant Risk, Business and Product Risk depending on the resolution type (booking, marking etc.)
• Perform performance review of the model as per the tests defined in the model (convergence tests etc.)
• Ensure proper documentation, version control, and validation of models to maintain a clear audit trail
• Prepare reports and presentations for senior management, auditors, and regulatory bodies regarding model risk, performance, and compliance.
• Strong relationship management and liaison with business stakeholders of all levels. But must be willing to challenge as needed, particularly front office.
• Must be dedicated to information integrity and to producing high quality and insightful output and hitting deadlines where applicable. Must be prepared to go into as much detail as is required to resolve issues. Must be capable of working very productively using time very efficiently.
• Good presentation and communication skills, with the ability to present complex model risk findings and propose resolution pragmatically in taking into account the organizational setup.

Work experience & skills required: 

• Proven, relevant experience in markets with good knowledge of the markets, products and risk.
• A minimum of 6-8 years of experience in market risk, model risk management, validation, and control
• 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 regulatory frameworks (Basel) relevant to Market Risk, such as FRTB, VaR, Reg CVA, Initial margin, CCR, Leverage Ratio, Stress testing, etc.
• Experience with derivatives pricing models/frameworks and valuation adjustments – Black Scholes, HJM, xVA, Monte-Carlo methods.
• Exposure analytics and simulations – Expected Exposure (EE), Expected Positive/Negative Exposure (EPE, ENE), Potential Future Exposure (PFE), etc.
• Experience with Excel, Python, C# and ability to implement/code regulatory models, derivatives pricing exposure simulations and valuation adjustments (xVAs).
• 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: Business, Commerce and Management Studies (Required)