We are working exclusively with a Tier 1 global banking group to hire a strong credit risk modeller for their wholesale model validation team, covering IRB and IFRS9 models and also supporting on ALM, stress testing and pensions models validation where needed. Key Responsibilities
Lead and perform independent validation of models across the Group, engaging with Analytics teams and Senior Management in the timely completion of model validations and reporting of identified findings and weaknesses of models.Develop and shape the overall approach to model validation and model risk management within wholesale model validation and across the Group.Manage the prioritisation of models requiring validation according to model materiality, business use, complexity and other factors.Oversight of model risk activities across the Group and providing challenge on the appropriateness of models used within the business.Engaging with Senior Stakeholders (e.g. CROs, Finance Directors, Heads of Functions) on key model risk activities.Requirements:
Prior experience of model validation and/or model development for credit risk, preferably in wholesale, retail experience also potentially relevant.Practical understanding of model validation techniques particularly on wholesale credit risk, IFRS9, and IRB models.Knowledge of model risk management regulations and standards in the UK and EU.
As a result of the IRB repair programme, and other ongoing projects, many of the firm's models are being redeveloped - "the next generation" of credit risk models. As a result, there is a significant amount of new validation work happening now and in the pipeline for next year and beyond. As many of these models will be validated for the first time, there is a significant amount of benchmark modelling work to be done in order to effectively test models developed by the 1st line. Hence some prior experience in model development will be useful. Location:
60 - 75k Job type: Permanent Job reference: AVP - Credit Risk Model Validation Sector: Credit Risk