OM Bank: Lead Model Validation

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Job Description

OM Bank seeks an experienced Model Validation Lead to join its newly established Model Risk Management (MRM) function as a senior member of the second line of assurance. This is a foundational appointment: OM Bank is a start-up bank, and the MRM function is being built out from inception. The successful candidate will play a leading role in shaping how independent model validation is performed across the Bank, embedding the validation cadence under the Bank’s Model Risk Policy and its supporting Standards, and contributing directly to the maturity of model governance as the Bank grows.

The Model Validation Lead is responsible for delivering and overseeing the independent validation of all models within OM Bank's model inventory, in line with the Model Risk Validation Standard and broader Model Risk Policy framework. The role provides senior technical challenge across the full spectrum of models the Bank relies on – credit, IFRS 9 / impairment, capital, stress testing and ICAAP, pricing, treasury and balance sheet (including IRRBB), financial crime, and AI/ML-based decisioning – and ensures that validation outcomes meaningfully inform the Bank's model risk profile, risk appetite position, and capital adequacy assessment.

Beyond the validation work itself, the role carries a clear build-out mandate. The Lead will help shape the validation methodology, templates and governance cadence used by the function; mentor junior team members; and represent the MRM function in technical engagements with model owners, model developers, internal audit, and external stakeholders including the Prudential Authority. The role reports to the Head of Model Risk.

KEY RESULT AREAS

Independent model validation

Plan, execute and document inception and periodic validations across all model families in scope, with particular emphasis in the early period on credit-related models (application scorecards, behavioural scorecards, IFRS 9 ECL components, affordability and pricing models). Deliver Model Validation Reports that meet the requirements of the Model Risk Validation Standard, including assessment of conceptual soundness, data quality, methodology, calibration, performance, stability, and intended-use suitability.

Model risk measurement

Apply relevant frameworks to assign model risk ratings, and recommend appropriate residual risk treatment and remediation plans in line with the materiality-and-risk approval matrix.

Governance build-out

Contribute substantively to the maturation of OM Bank's MRM framework – including validation methodology, challenger model approaches, KPI libraries, validation templates, and the operationalisation of the supporting Model Risk Standards. Support the development of the Bank’s governance hub and associated lifecycle documentation.

Externally developed and AI/ML models

Lead the validation approach for vendor and externally developed, and apply the additional requirements for AI and ML models, including explainability, bias and fairness assessment, performance drift monitoring, and the treatment of model changes.

Stress testing and ICAAP

Lead the independent validation of models used in the Bank's stress testing programme and Internal Capital Adequacy Assessment Process (ICAAP), including credit risk stress overlays, IRRBB sensitivity models, capital projection models, and any models supporting the assessment of risks under Pillar 2. Provide independent challenge to the conceptual soundness, calibration, and conservatism of stress scenarios where these are model-driven, and ensure that the model risk profile is appropriately reflected in the ICAAP submission. Engage with the CFO function, Asset and Liability Committee (ALCO) and the Executive Risk Committee (ERC) to ensure model coverage in stress testing and ICAAP is comprehensive and that limitations are transparently disclosed.

Stakeholder engagement and challenge

Provide effective challenge to model owners and developers in the first line, and present validation findings and conclusions credibly to forums including the ERC, the Risk and Capital Management Committee (RCMC), and where required, internal audit and the Prudential Authority.

Mentorship

Provide technical guidance and day-to-day oversight to junior team members, supporting skills development and contributing to the build-out of validation capability within the function.

Continuous improvement

Contribute to the ongoing review of validation methodologies, regulatory developments, and emerging practice in model risk management, ensuring OM Bank's approach remains aligned to regulatory expectations and industry best practice.

ROLE REQUIREMENTS

Educational Requirements

• Minimum: Degree in a quantitative discipline – including Statistics, Mathematics, Financial Mathematics, Actuarial Science, Quantitative Finance, Econometrics, Data Science, or a closely related field.
• Advantageous: Honours or Master's Degree in one of the above disciplines, or progression toward Fellowship of the Actuarial Society of South Africa (FASSA) where applicable.

OM Bank recognises that strong model validators come from a range of academic and professional pathways. Candidates whose careers have been built on deep practical exposure to financial mathematics, statistical modelling and credit analytics are explicitly encouraged to apply where the practical experience requirements below are met.

Essential Experience

• Minimum 5 years' relevant banking experience in a Model Risk Management or Model Validation role within a South African bank, with extensive hands-on validation experience across credit-related models (at minimum: application and behavioural scorecards, IFRS 9 ECL components, and affordability/pricing).
• Demonstrated experience as a primary author of Model Validation Reports submitted to internal governance forums.
• Practical experience with end-to-end model development is required – the candidate must have built, calibrated and validated models, not only reviewed the work of others. This is essential for credible technical challenge and for the design of challenger models.
• Working knowledge of the South African regulatory framework relevant to model risk, including Banks Act Regulation 39, PA Guidance Note G9 of 2022 (credit risk models), GN5 of 2014 (outsourcing), and the BCBS principles for model risk management. Familiarity with POPIA and NCA constraints on the use of personal information in credit models is expected.
• Experience presenting and defending technical findings to model developers, senior management, and risk committees.
• Exposure to vendor and externally developed model validation, and to AI/ML model governance, is strongly advantageous.

Technical Competencies

• Strong technical depth in classical credit modelling techniques (logistic regression, scorecard development, segmentation, calibration, IFRS 9 staging and ECL methodology) and familiarity with machine learning approaches (tree-based methods, gradient boosting, neural networks, clustering) and explainability techniques (SHAP, LIME, partial dependence).
• Proficiency in at least one of Python, R or SAS, with the ability to independently interrogate model code, replicate results, and build challenger models.
• SQL skills and practical experience extracting model data directly from data warehouse environments – exposure to cloud-based platforms such as AWS (including Athena or S3-based data lakes), Snowflake etc is advantageous. The validator must be able to source, profile and interrogate model data independently rather than relying on the first line to provide pre-prepared extracts.
• Strong working knowledge of model performance and of the design of sensitivity analysis and stress testing for models.
• Sound understanding of data quality, data lineage and RDARR (BCBS 239) considerations as they apply to model inputs and outputs.
• Excellent written communication, with the ability to produce technically rigorous validation reports that are also accessible to non-technical model owners and business unit heads.
• The professional maturity and confidence to operate as a credible second-line voice in a function being built from scratch – comfortable with ambiguity, willing to engage in considerable technical depth, and willing to help shape the methodology rather than only execute against an established one.

Skills

Accounting, Budget Management, Client Management, Executing Plans, Financial Acumen, Financial Auditing, Financial Modeling, Legal Practices, Oral Communications, Policies & Procedures, Readiness Assessments

Competencies

Business Insight

Cultivates Innovation

Manages Complexity

Optimizes Work Processes

Situational Adaptability

Strategic Mindset

Education

Closing Date

11 June 2026 , 23:59

The appointment will be made from the designated group in line with the Employment Equity Plan of Old Mutual South Africa and the specific business unit in question.

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