Description
Model Risk Manager, Tier One Investment Bank, Chester, 6 months+
Tier One Investment Bank is looking to appoint an experienced Risk Manager with extensive Model Development background and strong stakeholder management skills to drive a large scale project forward in Chester. The role will focus upon for independent validation and on-going review of predictive models to ensure they follow good modelling practices and are in compliance with Model Risk Policy and US and UK regulatory requirements.
Overview
The Model Risk Manager will lead the clients Model Risk Management Team, responsible for maintaining a model risk management framework in line with UK and US regulatory best practice and Enterprise Policy. Specifically, the team will execute independent model risk management activity across the banks Credit Risk, Fraud and Prospect Marketing models, including;
- Provision of model risk oversight over model development, use and implementation within the business
- Provision of model validation and effective challenge, including review and approval of new models and on-going monitoring of existing models.
The role holder will be at a senior level and expert on analytic/quantitative modelling techniques, providing guidance to other senior level staff on areas of expertise, as well as being the primary interface for model developers within the business with respect to model risk.
Key Accountabilities and Responsibilities
Leading a team of Model Risk Analysts
Delivery of Model Risk Management framework that is consistent with US and UK regulatory expectations and Enterprise Policy
Independent model validation, effective challenge and approval for any new or materially changed models prior to use, including provision of appropriate analysis and reports. Model validation reports must 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
- Review of ongoing monitoring for all models, and where model performance is unsatisfactory, ensure appropriate action to be taken to improve model performance 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.
- Maintaining the model risk management framework and governance structure for the bank. 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 executive appropriate governance routines for the bank in relation to Model Risk Management, aligned to the Enterprise Model Risk Framework
- Present to UK and US regulators on Model Risk within the bank, and contribute to Consumer and Enterprise regulatory updates as required.
- Produce Model Risk reporting to furnish relevant bank wide committees, Risk & Audit Committee, & MBNA Board.
- Matrix reporting line to Enterprise Model Risk Management team, ensuring Model Risk practices remain consistent across geographies and business functions. Provide relevant information and reporting to support Enterprise Model Risk requirements
Essential Experience and Technical Qualifications
- Masters degree in Statistics or related quantitative field
- Strong background of modelling experience in risk or marketing area. Highly experienced in the development of predictive models using appropriate techniques such as Linear Regression, Logistic Regression, CHAID
- Sound knowledge and experience of SAS programming. Highly developed SAS skills. Significant experience in the use of SAS 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
- Experience in management of less experienced analysts, providing coaching, guidance and performance management
- Model risk management experience in financial institution
- Knowledge of regulatory environment (UK and US including OCC Bulletin and Federal Reserve SR 11-7)
- Good working knowledge of word processing, spreadsheet and presentation software
If you wish to apply for the above position, please call me or email
Please be advised if you haven't heard from us within 24 hours then unfortunately your application has not been successful on this occasion, we may however keep your details on file for any suitable future vacancies and contact you accordingly. Adecco is an employment consultancy and operates as an equal opportunities employer.