Firm Consultant: Credit and Market Risk Models Validation
The engagement will involve progressively validating all high-priority models as deemed necessary by the Bank, in accordance with the requirements of the MRM framework. This assignment is not limited to a specific model but aims to establish a long-term partnership with a consulting firm under a master agreement. The firm will support the Bank in validating models based on their risk tiering and in line with the available budget.
Location: Remote Working
Consultant type: Firm Consultant
Deadline: 17-Oct-2025
Job Description
EOI – Credit and Market Risk Models Validation – PGRF
A. Background Objectives
The engagement will involve progressively validating all high-priority models as deemed necessary by the Bank, in accordance with the requirements of the MRM framework. This assignment is not limited to a specific model but aims to establish a long-term partnership with a consulting firm under a master agreement. The firm will support the Bank in validating models based on their risk tiering and in line with the available budget.
B. Scope of work
2.1. Independent validation of selected models in line with the Bank’s MRM framework requirements, criteria (statistical tests..) and procedures.
2.2. Issue an independent model validation report for each model validated. This report should clearly articulate the process and the results of all statistical tests applied. The report should also list all the findings by classifying them by severity, materiality and priority. The report should propose for each finding a mandatory timeline required to address it.
2.3. The final outcome of the exercise should highlight if the validation is successful and the model is valid for implementation and internal use or if the validation fails and the model requires a full review/calibration to address high priority findings before implementation and internal use.
C. Deliverables Expected
For each model independent validation, the deliverable will a validation report in word/PDF format in line with the Bank’s MRM framework and validation guidelines and procedures.
D. Duration and Timetable for the Assignment
The estimated duration of the master agreement is two (2) years following the selection of the consulting firm and the signature of the contract agreement with the possibility of extension for two (2) additional years based on performance and organizational needs. The date of commencement of the contract is expected to be 15th November 2025.
E. Bank Contribution and Institutional Arrangement
• The Bank will provide the Consulting firm with all the required documents and data.
• The Bank will also provide appropriate contact points available to answer (“ad-hoc”) questions and to review recommendations.
F. Duty Station
- Remotely.
