Model Validation Manager

3 months ago

London, United Kingdom Adway Associates Full time

About the Team

Model Risk Management (MRM) team is responsible for end-to-end model risk management across the Group. The team assesses and helps mitigate model risk of complex models used in the context of risk measurement, valuation, capital and provisions calculation, and more broadly for decision-making purposes. MRM partners with Risk and Finance professionals and works closely with model developers and users. Team members have opportunities for exposure to a variety of business and functional areas.

About the Role

Reporting to the Head of Model Validation (MV), who will be your line manager and responsible for things like performance review meetings, 1-1s, and development conversations, you will be responsible for:

  • Supporting the Head of MV in prioritising and scheduling validation activities to ensure all models remain fit for purpose in accordance with the Banking Group MRM Policy and Standards documents.
  • Managing 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.
  • Leading 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.
  • Documenting validation findings, providing insight and evaluation of weaknesses, and making recommendations for improvements.
  • Presenting independent reviews to the Model Governance Committee or Model Technical Forum.
  • Maintaining knowledge of model risk and regulatory requirements and standards related to risk models.
  • Engaging regularly with senior colleagues across the Group to manage relationships, influence decision makers, and challenge constructively at a senior level.
  • Carrying out model risk management tasks with a view to the auditability of model assurance.
  • Researching 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.
  • Benchmarking model components such as parameter estimation methods or pricing models to justify against alternative approaches.
  • Promoting a robust risk culture across the primary stakeholders and business.
  • Monitoring regulatory developments and ensuring personal knowledge remains up to date.
  • Supporting the Head of MRM to deliver model governance requirements across the Bank.

About You

  • 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 utilise experience and knowledge to make sound model judgements, taking into account model performance, regulation, and wider considerations such as complexity vs benefit, short vs long-term trade-offs, and resource prioritisation.
  • 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.
  • Effective relationship management, delivering successful business partnering whereby constructive challenge is undertaken in a timely and orderly fashion.
  • Ability to communicate and influence on sophisticated issues, verbally and in writing (including model documentation), across all key partner groups.
  • Track record of effective delivery and overcoming challenges to deliver business results.
  • 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

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