Model Validation Role - Credit Risk - BFSI

Job Description for Model validation - Credit Risk:

Specific responsibilities include:

- Manage and supervise a team of quantitative Model Risk Managers (senior or junior) and/or external consultants.

- Ensure that all activities and duties are carried out in full compliance with regulatory requirements and internal Policies and Standards

- Ensure the completion of the validation missions (planning, staffing, framework of the review) and coordinate the validation missions of the team.

- Challenge the process for all new and existing models, to ensure accuracy of existing metrics to the standards required by Group and model validation standards and to drive continuous improvements in a full compliance with regulatory guidelines

- Ensure the production of high quality validation reports and presentations for relevant model governance committees

- Support the model risk manager in their participation in models committees,

- Present the results of the review at the Expert Committee.

- Ensure open, transparent, proactive and timely interaction with major stakeholders (subject matter experts, model owners/developers) in alignment with Group values and principles

- Interact with external regulators.

The person filling the role would be expected to work on models across the department's expertise, including wholesale and retail credit models, market risk models (VaR/SVaR/FRTB, EEPE, CVA, IRC/CRM), operational risk models, model performance under stressed environments, models specifically designed for stress-testing, as well as models designed for IFRS 9 requirements or to fulfill regulators (FED, BCE) requirements.

Profile

- Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Economics, or Finance, or a track record of performance that demonstrates this ability.

- Background in a quantitative role within risk management (credit/market/operational), finance and/or project management in a financial institution

- Excellent knowledge and understanding of a wide variety of model development and validation statistical techniques covering primarily credit and market risk.

- Significant experience in either model development or in model validation, hands-on experience in model development, model specification, model selection, model testing and validation

- Knowledge of computing and scripting languages

- Able to produce high quality written communication including reviews of models, risk policies, and presentations for technical and non-technical audiences

- Familiarity with regulatory requirements (basel framework, CRR, SR 11-7, IFRS 9), including governance and documentation standards.

- Leadership and management experience

Evolution

Joining this team is an opportunity both in terms of acquisition of new expertise and of prospects for development within a group that operates internationally.