Model Risk Management Specialist - London/Hybrid - up to £85,000
An exciting opportunity has arisen within our international retail and commercial banking client within their Model Risk Management (MRM) team. The individual will be responsible for continuously developing and embedding the Bank’s Model Risk Management policy and framework, ensuring comprehensive model governance as well as carrying out model validations and reviews across all the Banks
regulatory and non-regulatory models ensuring efficient model risk management is applied in line with the MRM principles. In addition, they will collaborate with the quantitative risk team on the yearly ICAAP, stress test framework and stress test execution across ICAAP, ILAAP and RRP, model support, quantitative risk analytics across all risk classes and IRB implementation.
Responsibilities include:
* Operate in line with the Bank's Risk Management Framework and relevant risk and compliance policies and procedures, ensuring appropriate and timely escalation of any concerns.
* Perform independent model validations (or annual model reviews) across a variety of models held in the Banks model inventory. These include stochastic models (IRB and non-IRB) and non-models (also known as deterministic quantitative methods).
* Carry out model validation of regulatory models such as ICAAP and ILAAP.
* Continue to embed the Model Risk Management Framework, including model identification process, attestation, validation, and monitoring.
* Participate in the identification and assessment of the Bank’s key model risks. Ensure model risks with the Bank are effectively identified, measured, monitored and controlled, consistent with the Bank’s risk appetite statement and all policies and processes.
* Assist in ensuring that MRM policies, frameworks and instructions are kept up to date and periodically reviewed.
* Present validation and review work performed at the monthly Model Oversight Committee.
* Report on model risk related matters to the Head of MRM management and participate in discussions with stakeholders (such as model developers, model owners, users).
* Keep up to date and act upon regulatory developments and industry best practise in areas related to model risk.
* Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management.
Role Requirements:
* Experience of working in banking and/or financial services, developing and validating IRB models.
* IRB regulation understanding (CRR, EBA, PRA) and is familiar with industry best practises for model risk management (SR11-7, SS 1/23, SS 3/18) and model validation across a wide range of model types and methodologies.
* Have a strong analytical background and numerical skills.
* Educated in statistics, mathematics, data science or engineering.
* Hands on experience from at least one statistical data programmes ie SAS, SQL, R, Python.
* Have an ability to communicate, analyse, articulate and present complex issues clearly and concisely both verbally and in writing with a key attention to detail.
* Ability to interact and communicate effectively with key stakeholders.