Comprehensive Model Risk Management Methodology
Budget: $250 – $750 SGD
I'm looking for an expert who can develop a detailed methodology for Model Risk Management, adhering to the framework already approved. The objective of this project is to establish a very detailed methodology that covers various aspects of around 200 retail banking models including:
- Data collection and validation
- Model development and validation process
- Maintenance and performance monitoring
- Model environment in terms of infrastructure, governance and use
- Model interconnections and dependencies
In addition, attention should also be given to specific types of risks including operational and credit risks.
The methodology needs to specifically suggest which variables should be used to measure the model risk rating and model materiality in the table in the attachment (Courtesy: Deloitte) and how to create weightage for them for this kind of measurement.
The ideal candidate should have substantial expertise in Basel regulatory framework, a clear understanding of model risk management methodologies, and experience dealing with operational and credit risks. A strong background in data collection, validation, and model development will be highly regarded.
- Data collection and validation
- Model development and validation process
- Maintenance and performance monitoring
- Model environment in terms of infrastructure, governance and use
- Model interconnections and dependencies
In addition, attention should also be given to specific types of risks including operational and credit risks.
The methodology needs to specifically suggest which variables should be used to measure the model risk rating and model materiality in the table in the attachment (Courtesy: Deloitte) and how to create weightage for them for this kind of measurement.
The ideal candidate should have substantial expertise in Basel regulatory framework, a clear understanding of model risk management methodologies, and experience dealing with operational and credit risks. A strong background in data collection, validation, and model development will be highly regarded.
Related categories:
Analytics
Statistical Modeling
Credit Analysis
Model Testing & Optimization
Model Monitoring