Principal Model Risk Management Specialist
Job Vacancy | Monday, May 29, 2023
Overview
Asian Development Bank (ADB) is an international development finance institution headquartered in Manila, Philippines and is composed of 68 members, 49 of which are from the Asia and Pacific region. ADB is committed to achieving a prosperous, inclusive, resilient, and sustainable Asia and the Pacific, while sustaining its efforts to eradicate extreme poverty. ADB combines finance, knowledge, and partnerships to fulfill its expanded vision under its Strategy 2030.
ADB only hires nationals of its 68 members.
The position is assigned in the Office of the Head (RMOD) within the Office of Risk Management (ORM). ORM has a broad mandate and ensures that ADB’s Treasury, Sovereign, and Nonsovereign operations are sustainable by safeguarding ADB’s rating, advising Board and Management on risk issues, and implementing and promoting a strong internal risk culture.
Job Purpose
The Principal Model Risk Management Specialist leads the model risk management function. The position’s responsibilities include (i) implementing best practices for model risk governance in ADB; (ii) identifying and managing the ADB model risk inventory; (iii) developing policies, processes and methodologies for model review and validation; (iv) carrying out independent model validation and (v) reporting, as necessary, to senior management and the Board.
The incumbent will report to Head, ORM and will supervise national and administrative staff.
Responsibilities
a. Model Risk Governance
· Maintains and operates the model risk governance framework (MGF) and model governance structure.
· Oversees development of detailed operations’ guidelines supporting the MGF.
· Periodically reviews results of models’ performance monitoring and validation, including implementation of remedial actions, provides recommendations to model owners and Model Risk Committee (MRC).
· Oversees the process of escalation of model review and validation findings to the Model Risk Committee.
· Communicates and coordinates with the MRC, prepares updates for MRC and the ADB Risk Committee.
· Manages ADB´s model inventory. Establishes requirements specific to the model inventory and to support annual attestations across ADB.
· Reviews functionalities of existing, new, and retiring models with an objective to avoid unintentional model duplication within the organization.
· Resolves inquiries from model stakeholders and owners on model inventory, model review and validation processes.
· Reports operational risk incidents and near misses pertaining to models in line with operational risk reporting requirements.
· Reviews proposed policies, processes, and guidelines to ensure their compliance with ADB requirements and best practices.
b. Knowledge Sharing
· Maintains knowledge of emerging best practices and standards in model governance, model review and validation.
· Provides support in organizing and conducting training to promote an appropriate risk culture in ADB.
· Contributes to formulation of ADB policies, guidelines and practices on risk and portfolio management
· Liaises with other multilateral development banks in sharing of information and knowledge on policies, methodologies, and related techniques.
c. Staff Supervision
· Manages model risk management team.
· Leads multidisciplinary teams and ensures the overall quality of its work.
· Supervises the performance of teams and individuals, providing clear direction and regular
monitoring and feedback on performance.
· Provides coaching and mentoring to individuals and ensures their on-going learning and development.
Qualifications
Relevant Experience & Requirements
· Master’s degree, or equivalent, in computer science, mathematics, engineering, finance, economics, statistics, or related field. University degree in related fields and at least 5 years specialized experience relevant to the position can be considered.
· At least 12 years of relevant international experience in a similar setting e.g. international financial institution, international bank, or other similar institution.
· Strong model development and validation experience.
· Working knowledge of financial theory; risk related models (credit, market, operational and liquidity etc.), capital (economic capital, regulatory capital) and stress testing models, pricing, and valuation models etc.
· Good knowledge of statistical analysis techniques, pertaining to risk modeling, particularly in wholesale credit risk, market risk and operational risk modeling.
· Strong project management and execution skills, including the ability to effectively drive complex, multifaceted initiatives to conclusion within demanding timeframes.
· Ability to convey complex concepts and outcomes to non-subject matter experts.
· Excellent oral and written communication skills in English.
· Experience and track record in public speaking and presentation.
· Effective time management to efficiently deliver concurrent projects with competing priorities.
· Ability to collaboratively work with model owner/sponsor counterparts.
· International experience working in several countries preferred.
· Please refer to the link for ADB Competency Framework for International Staff Level 6.
General Considerations
The selected candidate, if new to ADB, is appointed for an initial term of 3 years.
ADB offers competitive remuneration and a comprehensive benefits package. Actual appointment salary will be based on ADB’s standards and computation, taking into account the selected individual’s qualifications and experience.
ADB seeks to ensure that everyone is treated with respect and given equal opportunities to work in an inclusive environment. ADB encourages all qualified candidates to apply regardless of their racial, ethnic, religious and cultural background, gender, sexual orientation or disabilities. Women are highly encouraged to apply.
Please note that the actual level and salary will be based on qualifications of the selected candidate.
