Model Risk Validation Officer, AVP

What you'll do

In this key role, you'll be maintaining and controlling an aggregated bank-wide model inventory and associated model risk assessments. You'll review and validate assigned models across the bank, ensuring that the assigned models are fit for purpose. This will include use in customer, business and strategic decision-making, and external disclosures and regulatory calculations or returns.

Throughout the course of your work, you'll report on the findings of model risk management reviews, making sure it suits your audience, which will include senior management, regulators, model developers, and end-users.

You'll Also Be

• Implementing and maintaining appropriate and proportionate mandatory procedures that define the governance of models
• Developing, maintaining and promoting the risk appetite setting in relation to model risk
• Playing an active part in the development of your team and helping to coach less experienced colleagues
• Making sure that models are appropriate for designated uses, and that significant model risks are identified and effectively communicated to senior management and model end-users
• Performing model risk analysis to satisfy regulatory queries and requirements

The skills you'll need

We're looking for someone with experience of model review or model development of relevant risk models. You'll need a strong understanding of risk modelling within traded market risk, non-traded market risk, counterparty credit risk, economic capital or pension risk.

Crucial to your success in this role will be problem solving and analytical skills and your ability to communicate with and influence senior management, and develop effective relationships with a range of internal and external stakeholders.

You'll Also Need

• Validation of pricing models linking to swaps, swaptions, Balance guarantees, CDS, etc.
• Some experience in delivering both written and verbal communications to senior stakeholders
• Strong coding (Python), LaTeX, Excel, PowerPoint and Word skills
• Knowledge of financial products, quantitative modelling techniques and associated regulations