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Risk Model Assurance Professional

2 months ago


London, Greater London, United Kingdom Adway Associates Full time

About the Role:

Adway Associates is seeking a highly skilled Model Risk Management Specialist to join our team. As a key member of our Model Risk Management (MRM) team, you will be responsible for ensuring the accuracy and reliability of our risk models.

Key Responsibilities:

  • Model Validation: Support the Head of Model Validation in prioritizing and scheduling validation activities to ensure all models remain fit for purpose in accordance with our MRM Policy and Standards documents.
  • Independent Reviews: Manage independent reviews across the model lifecycle, including new developments, model changes, periodic validations, ongoing monitoring, and implementation in respect to their design, calibration, validation, operation, usage, reporting, and governance.
  • Re-performance Validation: Lead re-performance independent validation for material models, including partial or complete recoding, development or building of challenger models, data profiling, model and variable selection, back-testing, and stress testing.
  • Model Risk Management: Maintain knowledge of model risk and regulatory requirements and standards related to risk models.
  • Model Risk Management Tasks: Carry out model risk management tasks with a view to the auditability of model assurance.
  • Statistical Techniques: Research statistical techniques to estimate model parameters, including volatilities of risk factors and their correlations, and to validate the use of appropriate proxies and fall-back parameters.
  • Risk Culture: Promote a robust risk culture across primary stakeholders and business.
  • Regulatory Developments: Monitor regulatory developments and ensure personal knowledge remains up to date.

Requirements:

  • Experience in modelling and/or validation for corporate, retail, and wholesale banking portfolios with a financial services organization, consulting firm, or analytic solutions provider.
  • Ability to utilize experience and knowledge to make sound model judgments, taking into account model performance, regulation, and wider considerations such as complexity vs benefit, short vs long-term trade-offs, and resource prioritization.
  • Hands-on experience in technical model development and implementation, model validation, and/or model oversight in one or more of the following areas: credit risk (retail and/or wholesale), PD/LGD/EAD estimations, IFRS9, operational risk, asset & liability management, Economic Capital, stress testing, sensitivities, time series modelling.
  • Knowledge of relevant risk topics, including relevant regulations from PRA and ECB.
  • Proficiency in SAS & Excel. Knowledge of other standard analytics softwares like R, Python, SAS Viya, etc would be desirable.
  • Knowledge of banking business and associated risk management approaches sufficient to understand models in the context of the business.
  • Ability to communicate and influence on sophisticated issues, verbally and in writing (including model documentation), across all key partner groups.
  • Has ethics and integrity at the heart of every decision, and creates an environment that encourages high performance, openness, honesty, and integrity.
  • A numerate graduate degree (Level 6) or above from any reputed University
  • Minimum 5 years of experience working in risk function either in model development or in model validation
  • Good to have
    • Experience in managing a team