The key purpose of this job is to ensure that the validation requirements for the above areas are met. To validate mathematical and statistical models used within Counterparty Credit Risk, Market Risk and the Global Markets space for the Standard Bank Group, including relevant trading models in Liberty.
- Perform initial and ongoing validations of internally and externally developed Counterparty Credit Risk, Market Risk and Global Markets Trading models. Formulate detailed understanding of the model specification and related data requirements.
- Research and develop an independent/challenger model to use as the reference model. Collate validation results in a technical report. Make conclusions on the validation outcome, as well as model risk, of the model being validated. Identify weaknesses in the model and formulate appropriate recommendations that will address the identified model weaknesses.
- Interact with Model Development to obtain additional clarity on the models that are being validated. Determine which aspects of the model require more clarity. Arrange and attend meetings and discussions with Model Development. Interaction with Model Owners and Business may also be required.