Job Title:
Risk Modelling Manager

Reports to: Head of Financial Risk

Industry: Banking / Financial Services



Location:
Hybrid – 2 days per week in West Midlands, UK



Salary:
£55,000- £65,000 + bonus and good banking benefits

NOTE: PLEASE DO NOT APPLY FOR THIS ROLE UNLESS YOU HAVE THE FOLLOWING SKILLS AND EXPERIENCE, AS OUR CLIENT WILL NOT CONSIDER YOU:

Core competencies:

• Strong background of modelling experience gained in a model development, monitoring or oversight role within a financial services organisation.
• Experienced in different predictive model development techniques.
• Ideally, a sound knowledge and experience of SAS or similar programmes utilised to manipulate and process large datasets, making use of relevant procedures and language.
• Knowledge of the UK Banking regulatory environment.
• Highly proficient in producing professional documentation, spreadsheets and presentations, and presenting information to Executives and in committees.
• Ability to explain complex modelling concepts to staff at all levels across the company.
• Able to prioritise workloads effectively to meet tight deadlines.

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About our Client

Our client is a medium-sized FS institution specialising in commercial lending, asset finance and savings products for SMEs. They are successful and profitable and on an excellent growth trajectory.

Job Purpose

To lead and develop our client's Model Risk Management capability by maintaining a model risk management framework in line with emerging industry good practice and regulatory requirements. Specifically, to execute independent model validation activity across our client's range of models relating, but not limited to: Credit Grading, IFRS9 Provisioning, Forecasting, Stress Testing, Financial Planning and Interest Rate Risk in the Banking Book (IRRBB) models.

Maintain the key model governance documents, including the framework, policy and standards.

To be the 2nd line subject matter expert on analytical/quantitative modelling techniques; particularly relating to PD, LGD & EL models within Property (Commercial & Residential) Finance and Asset Finance portfolios.

Operate as a trusted advisor across the business providing guidance to senior level staff in all matters related to use of models and model risk.

Responsibilities

• Delivery and maintenance of a Model Risk Governance Framework, and associated governance processes, that is consistent with UK regulatory requirements (such as SS3/18 and CP6/22).
• Undertake independent model validation and provide effective review and challenge for any new, or materially changed, models prior to use – or existing models as part of an ongoing validation program in accordance with the Model Risk Policy.
• Produce model validation reports that critically review and analyse the developer's documentation and test results and independently perform sufficient analysis and testing to conclude on the following factors:
  • The conceptual soundness of the model;
  • Limitations and weaknesses of the model for its intended use, support for key assumptions, relevance and quality of reference data;
  • Accuracy of model implementation;
  • Degree of uncertainty associated with the model and range of parameters within which the model is designed to operate;
  • Adequacy of ongoing monitoring plans and acceptable results of initial outcomes analysis and benchmarking;
  • Quality of documentation, including developmental evidence, testing, benchmarking and outcomes analysis.
• Track the actions arising from the model validations to completion.
• Ensure that ongoing review of the performance of all models is in place (e.g. model monitoring reports) and, where model performance is unsatisfactory, track any remedial action to improve model performance (e.g. re-calibration) or ensure that the appropriate waivers are obtained.
• Work with the Business to ensure compliance with Policy requirements and associated model governance processes.
• Escalate model use breaches, communicating plans for corrective actions and recommending compensating controls.
• Produce and present Model Risk reporting to key committees, principally the Model Risk Governance Committee (MRGC).
• Maintain the Bank's model inventory and ensure that it accurately and completely reflects the model universe within the Bank.

Job specific competencies

• Strong background of modelling experience gained in a model development, monitoring or oversight role within a financial services organisation.
• Experienced in different predictive model development techniques.
• Ideally, a sound knowledge and experience of SAS or similar programmes utilised to manipulate and process large datasets, making use of relevant procedures and language.
• Knowledge of the UK Banking regulatory environment.
• Highly proficient in producing professional documentation, spreadsheets and presentations, and presenting information to Executives and in committees.
• Ability to explain complex modelling concepts to staff at all levels across the Bank.
• Able to prioritise workloads effectively to meet tight deadlines.

Other companies may call this role a Risk Modeller, Financial Modeller, Risk Modeller Analyst, Financial Modelling