logo for City Risk Consulting Limited

Model Risk Manager - West Midlands, United Kingdom,

£70-80k

This is a Model Risk Manager / Modelling Risk Manager position, reporting to the Chief Risk Officer of this bank situated in the Midlands.

Salary: £70,000- £80,000 + 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:

  • Master's degree in Statistics or related quantitative field, or equivalent experience
  • Strong background of modelling experience gained in a risk or similar environment within a financial services organisation. Highly experienced in the development of predictive models, using appropriate techniques, such as: Linear Regression, Logistic Regression, CHAID
  • A sound knowledge and experience of SAS or similar software utilised to manipulate and process large datasets, making use of relevant procedures and language.
  • Expert prior experience in model review or development, validation and implementation of analytical risk measurement tools
  • Deep understanding and knowledge of modelling process and model performance measures
  • Knowledge of the UK regulatory environment
  • Highly proficient in producing professional documentation, spreadsheets and presentations.

About our Client

Our client is a medium-sized Bank specialising in commercial lending, asset finance and savings products for SMEs. The Bank is successful and profitable and is on a growth trajectory.

Job purpose

To lead the bank's Model Risk Management by maintaining a model risk management framework in line with emerging industry good practice and regulatory requirements. Specifically, to execute independent model risk management activity across the bank's Credit Risk, Asset Finance and IFRS9 models, including;

  • Provision of model risk oversight over model development (whether undertaken internally or externally, using a vendor), use and implementation within the business;
  • Provision of model validation and effective challenge, including review and approval of new models and ongoing monitoring of existing models.

To be the subject matter expert on analytic/quantitative modelling techniques, in particular PD, LGD & EAD models within Commercial Real Estate or Retail Residential, providing guidance to other senior level staff, as well as being the primary interface for model developers/vendors within the business with respect to wider model risk across the Bank.

Responsibilities:

  • Delivery of a Model Risk Management framework that is consistent with UK regulatory requirements.
  • Undertake independent model validation, effective challenge and approval for any new, or materially changed, models prior to use, including provision of appropriate analysis and reports.
  • Produce model validation reports that critically review and analyse the developer's documentation and test results and independently perform sufficient analysis and tests to conclude on:
    • the conceptual soundness;
    • limitations and weaknesses of the model for its intended use, support for key assumptions, relevance and quality of reference data;
    • accuracy of mathematical implementation and processing;
    • degree of uncertainty associated with the model and range of parameters within which the model functions;
    • 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.
  • Ongoing monitoring and review of all models, and where model performance is unsatisfactory, ensure appropriate action is taken to improve model performance (e.g. calibration) or revoke model approval.
  • Complete annual reviews on each model to determine whether the model is working as intended, the assumptions continue to be reasonable and existing validation activities are sufficient.
  • Maintain the model risk management framework and governance structure for the bank and 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
  • Establish and execute appropriate governance routines for the bank in relation to Model Risk Management,
  • Produce Model Risk reporting to furnish relevant the bank's committees, Risk & Audit Committee, & the Board.

Excellence indicators:

  • All models are operating as intended, validated at the appropriate intervals, fully documented and comply with regulatory requirements.

Core competencies:

Our client seeks the following core competencies in all their team members:

  • An honest, clear and respectful communicator
  • Innovative and open minded to change
  • Self- motivated, accountable and results-orientated
  • A team player, who actively seeks opportunities to collaborate across multiple disciplines
  • Able to quickly build relationships with customers and stakeholders
  • Clear ability to plan and prioritise, to ensure targets are achieved or exceeded
  • Non-judgemental and considerate of the impact of their behaviour and decisions on others.