Primary Objective:

Lead and independently validate RHB Banking Group’s models, rating systems and the estimation of risk components on a regular cycle to ensure:

• the Bank’s implementations of Basel II IRB and IFRS 9 Non-Retail models for Credit Risk are in accordance to the regulatory standards;
• objectives, assumptions, risk factors and performance of the models remain consistent with their intent, construction and design; and
• models and risk estimates remain predictive, stable and risk sensitive.

Key Responsibilities:

• Supervise and establish a robust model validation and model risk management framework and continue to update and enhance the framework that governs all entities of RHB Banking Group to ensure sound model development, model validation and model risk management as well as reliability, stability and relevance of models.
• Supervise and perform review on the adequacy and effectiveness of models and/ or rating system and processes, the oversight structure and control procedures to ensure the applicability and proper application of the quantitative methods in practice. The review covers data quality, model design or rating systems documentation, governance and control as well as internal use of rating (Qualitative Validation).
• Supervise and perform review on model development evidence, outcome analysis and back-testing using the data obtained during practical operations of the model while comparison or benchmark data can be included as a supplement (Quantitative Validation).
• Supervise and perform review prior to implementation and adoption of the new / re-calibrated models for quality assurance.
• Supervise and perform review on existing models for quality assurance.
• Continuous enhancement of model validation and model risk management methodologies or techniques.
• Plan and manage validation project timeline and ensure the team is able to complete the project within the timeline.
• Prepare presentation deck which summarized key validation findings and present to senior management.
• Communicate and manage external parties such as regulator, external auditors, external model developers and/ or external model validation advisory.