Senior Model Risk Manager
EUR70000 - EUR100000 per annum
Job Background/Context:
The goal is to ensure continuous and consistent service for our UK and EU clients, while retaining safety and soundness.
The role is in the Model Risk Management Group. Responsibilities of this position include performing validation tests, discussing findings with internal and external stakeholders, writing validation reports, and managing model risk.
Key Responsibilities:
- Manage model risk across the model lifecycle including model validation, ongoing performance evaluation and annual model reviews.
- Manage stakeholder interaction with model developers and business owners during the model lifecycle.
- Represent the bank in interactions with regulatory agencies, as required.
- Present model validation findings to senior management and supervisory authorities.
- Provide effective challenge to model assumptions, mathematical formulation, and implementation
- Assess and quantify model risk due to model limitations to inform stakeholders of their risk profile and development of compensating controls.
- Contribute to strategic, cross-functional initiatives within the model risk organisation.
Experience/Knowledge:
- Experience in a quantitative role in risk management at a financial institution with experience in either model development or validation, ideally experience in modelling of Counterparty Credit Risk and Market Risk.
- Good knowledge and understanding of a variety of model development and validation testing techniques covering risk models.
- Strong communication skills in both verbal and written are required as the work involves frequent interaction with model developers, risk managers, other stakeholders as well as internal/external audit and regulators.
- Programming skills: C/C++, Python, Matlab, SAS, R, Java, Oracle and SQL.
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