Purpose

The Global Model Risk Management area provides independent and consistent model validation and approval across various risk types, including market risk, retail/non‑retail credit risk, operational risk, capital models, Anti Money Laundering (AML) and other key risk/financial models.

Accountabilities

• Validate models across various risk types. For the model being validated, review the methodology implemented for reasonableness and applicability, assess soundness of model methodology, review the architecture of the software application implementing the model, perform quantitative tests and qualitative assessments of the model, execute independent calculations, and analyze/interpret model output and complete draft validation.
• Conduct comprehensive review of the data and model risk governance activities by tracking progress, including the independent replication of data extraction from SAS MRM and data manipulation steps, as well as ...