Senior Manager - Model Risk - BFSI

Education in Mathematics or Statistics is required or B.Tech from IIT/NIT

Department Description

Global Risk:

- The risk team covers the management oversight of risk profile including key risk frameworks, policies and procedures and oversight and challenge processes. The team partner with the businesses to ensure manages its risk profile within defined risk appetite.

- The team is circa 50-strong, and growing, covering all facets of risk management including investment, operational, enterprise, and technology risk.

Enterprise Risk Management (ERM) Function:

- The ERM function is lead from head office in Bermuda and the primary purpose of ERM is to ensure that the business is managing risk within its agreed risk appetite, and in accordance with the associated ERM Framework. The ERM function is also responsible for capital management, key risk regulatory reporting and the ERM framework. It also acts as the oversight function for model risk. The team is currently 10 strong and is being invested in further to strengthen capital management, reporting and model risk capabilities specifically.

Purpose of your role

Your role will support the development and embedding of the model risk framework and will lead the development and implementation of the model validation component. Lead the development of a model risk validation team which will be responsible for the independent review and analysis of material models or oversight of that process for models used within. You'll undertake theoretical analysis and review of material models across asset classes, understanding the mathematical models used and their implementation methods in order to help elaborate a model inventory and a model risk assessment process to drive the frequency of periodical validation of models. In addition, you'll provide qualitative SME analysis of pricing models used for pricing and/or risk calculations. Naturally, you'll actively engage and manage relationships with various stakeholders.

Key Responsibilities :

- To develop the global target state operating model for a 2nd Line Model Validation function

- To define an approach and plan for designing and implementing the core components of the model risk validation function including prioritization and pilots where required

- To define requirements for model development and model validation policies in line with global model risk standards

- To help build out a complete model inventory and a model risk assessment approach to enable a risk-based approach for model review cycles including validation support for key models

- To review and validate existing risk models to establish their accuracy and suitability for changing business climate.

- To review and validate model testing results and documentation

- To provide SME advisory and assurance that risk & pricing models meet regulatory requirements.

- To provide expert support and guidance to all stakeholders on model development and validation activities, to help ensure the global model risk operating model is consistently adopted in processes and procedures, and to help model owners, users and developers understand minimum standards, make use of templates, etc.

- Establish and maintain highly effective working relationships with all key internal stakeholders

Experience and Qualifications Required :

- Hands-on experience building, enhancing and running model validation processes is essential

- Solid understanding of all model types (investment, pricing, risk & capital) with specific SME expertise in pricing models (preferably both equities and fixed income models)

- Extensive experience in quantitative risk-related roles in the financial sector - investment banking or asset management is preferable.

- Ability to demonstrate project delivery across model validation, model documentation will be highly advantageous.

- Hands-on mentality

- Excellent at providing innovative ideas and comfortable working under pressure

- Strong MS Excel & expertise with VBA, model library programming (C++, Java, Python &/or other).

- Dedicated to maintaining high-quality standards and client satisfaction

- University degree in Quantitative/Finance/Mathematical subject or similar

- At least 5 years post-qualification experience