Model Risk Management Senior Analyst - Independent Validation - ICAAP - Retail Banking

Model Risk Management Senior Analyst - Independent Validation - ICAAP - Retail Banking

Excellent opportunity opens for a skilled Model Risk Management professional with strong experience performing independent model validations opens within a growing international Bank's Model Risk Management team. This is a great chance to take ownership of the end-to-end model validation process and present outcomes to senior stakeholders.

The Model Risk Management (MRM) team are responsible for the design and maintenance of the Bank's Model Risk Management policy and framework, ensuring comprehensive model governance and carrying out model validations and reviews across all the Banks models. The successful candidate will contribute to the independent development and validation of IRB models and ensuring that efficient model risk management (governance, model inventory management, recommendations, and action plans, among other responsibilities) is being applied in line with the MRM principles outlined in SS1/23.

Responsibilities

• Operates in line with the Bank's Risk Management Framework (including sub-frameworks) and relevant risk and compliance policies and procedures, ensuring appropriate and timely escalation of any concerns to their line manager;
• Validate IRB models
• Carry out model validation of models used for other regulatory purposes such as ICAAP and ILAAP ;
• Continue to embed the Model Risk Management Framework, including model identification process, attestation, validation, and monitoring. This also includes identifying further areas of non-compliance to SS1/23;
• Participate in the identification and assessment of the Bank's key model risks. Ensure model risks with the Bank are effectively identified, measured, monitored and controlled, consistent with the Bank's risk appetite statement and all policies and processes;
• Assist in ensuring that MRM policies, frameworks and instructions are kept up to date and reviewed periodically by relevant governance committees;
• Present validation and review work performed at the monthly Model Oversight Committee (MOC);
• Report on model risk related matters to the Head of MRM management and participate in discussions with relevant stakeholders (such as model developers, model owners, users, etc.);
• Keep up to date and act upon regulatory developments and industry best practice in areas related to model risk;
• Communicate the results of model validation activities, model limitations and uncertainties to the key stakeholders and management.

Experience

• Must have experience conducting independent model validations
• Strong SAS and Python experience
• Experience with R and SQL
• Some relevant experience in financial services, ideally with exposure to model risk, quantitative analysis, or regulatory frameworks.
• Prior involvement in IRB or other model-related work is beneficial but not essential;
• Strong understanding of ICAAP and ILAAP regulations;
• A basic understanding of IRB regulation (CRR, EBA, PRA) and an interest in developing knowledge of regulatory guidelines and industry best practices for model risk management (eg, SR11-7, SS1/23, SS3/18);
• Strong analytical and numerical skills, with a willingness to learn and apply quantitative techniques;
• Educated to degree level in a numerate discipline such as statistics, mathematics, data science, or engineering;
• A proactive attitude and a willingness to take initiative under guidance;
• Commitment to delivering high-quality work and attention to detail;
• Ability to communicate clearly and concisely, both verbally and in writing, with support from senior colleagues where needed;
• A collaborative mindset and strong team-working skills;
• Ability to engage effectively with stakeholders and contribute to discussions;
• Organised and adaptable, with the ability to manage tasks in a structured but flexible manner.

Interested? Please Apply!

Bank Banking Finance Model Risk Model Validation Model Analyst Risk Model Analyst Quantitative Risk Management MRM Policies Frameworks IRB Regulations SAS Python SQL R SAS Models ICAAP ILAAP IRB