Job Details

Credit Risk Model Validation - Manager

Birmingham, West Midlands, United Kingdom, £40,000 - £65,000 , Permanent

Posted: 1 day ago


My client are a leading Retail bank based in the Midlands, who are looking for a Credit Risk Model Validation Manager to support and act as number two to the Head of Model Validation in managing the Model Validation function for the Group. The Credit Risk Model Validation Manager will be mainly remotely (working from home), with potentially 2 or so days in the office each week - though this is flexible and open to discussion (particularly within the current climate). So whilst the role is mainly home-based, successful candidates will need to be willing to commute to the Midlands once or twice a week on average.

The main focus of the team is to perform entire and robust independent model validation with effective challenge to the model development and implementation process (including providing guidance and insight to appropriate governing bodies both internal and external), periodic model review and post-model adjustments that covers identification of conditions for use and methodological limitations for all models.

Duties and responsibilities

Reviewing and challenging the mathematical and theoretical soundness of the IRB & IFRS9 models
Independently reviewing model compliance with appropriate regulation
Reviewing and challenging the ongoing performance of models
Assessing and challenging the content and quality of Credit Risk model development, implementation documentation, and performance monitoring reports
Independently checking the implementation of those models
Delivering timely and high-quality Terms of Reference for validation and validation reports
Liaising and engaging with model developers, owners on specific areas of model development and performance management and all aspects of the model risk management lifecycle
Model Governance

Supporting the review and maintenance of model governance policies and standards relating to Independent Model Validation.
Communication to and representation at appropriate internal governance bodies and the business in general
Supporting the development and implementation of an assessment of Model Risk for the Bank
Providing support to the Head of IMV as required
Providing support to the Model Oversight Director as required
Providing support to Internal Audit as required
Ideal Candidate:

A good understanding of the credit risk customer journey in Retail and/or Commercial/Corporate lending
Good knowledge and understanding of general statistical modelling (Logistic and Linear Regression, Scorecard development, Reject Inference) and related stats (Gini, information value, K statistic, R squared, population stability etc.)
Proven experience in either statistical modelling and analytics across the account life cycle or in reviewing model developments and their implementation
Knowledge of IRB and IFRS9 regulation
Experience in PD/LGD/EAD modelling for IRB/IFRS9 models
Knowledge of CRA and behavioural data
Ability to work independently and, at the same time, support and manage the wider team as needed
Excellent verbal and written communication skills
Experience and qualifications

Degree (min 2:1) in mathematics, statistics or equivalent.
Must have experience of coding (model development and model implementation). The ideal candidate will also have modelling experience using R, SPSS or SAS, experience in a mortgage environment (Buy-to-Let and Residential) and experience of modelling within a Commercial/Corporate lending environment

Job Details

Birmingham, West Midlands, United Kingdom
£40,000 - £65,000