Model Risk AVP

Join us as a Model Risk AVP where you will be responsible for the validations of Finance Stress Testing models used for the bank’s internal capital assessment - with a key focus on Balance, Revenues and Behavioural profile projections and a subset of non-traded market risk models on the banking book (IRRBB, Fair Valuation, Valuation in Resolution) used for day‑to‑day running of the bank as well as part of different model frameworks (e.g. ICAAP, Internal Stress Testing/EBA/BOE/CCAR Stress Testing, Value and Earnings metrics for IRRBB and liquidity risk models).

Your role will combine qualitative, quantitative and managerial skills to work with the team to propose approval decisions, identify key issues and viable remediation actions and communicate results at different forums with exposure to senior stakeholders. Your role sits within a numerate team where knowledge sharing is highly promoted.

• Detailed knowledge and understanding of internal Policies and Standards defining and supporting the assessment of Model risk.
• Validation and lead validation of models looking into data quality, assumptions and limitations, model design and conceptual soundness, implementation, performance results, benchmarking, compliance with regulations.
• Build challenger models (if needed) to support the review and challenge during the validation process for all new and existing models.
• Underlying work will require detailed examination of data, documents, and coding knowledge.
• Ensure production of high‑quality model validation reports and presentations to satisfy relevant model governance requirements, with a particular focus on noting limitations, weaknesses, and assumptions.
• Reports will also contain qualitative and conceptual challenges to models as appropriate.
• You must be able to assess materiality of issues and manage the model risk and escalation appropriately and independently.
• Create and maintain the correct information in the Group model database for the set of validated models and collaborate with the Model Governance Controls team as required to produce accurate reporting on models status.
• Collaborate with the Model Governance team to review MIT (Model Identification Tool) outcomes and NAPA (New and Amended Product Approval) proposals impacting models in scope of the role.

To be successful in this role you should have experience with:

• Highly quantitative with excellent working knowledge of Financial Mathematics and Econometrics or Statistics; a degree in quantitative subject (e.g. Math, Engineering, Statistics, Economics with master’s degree).
• Knowledge required:
  • Strong in time series concepts and models, such as ARIMA, VAR, Cointegration and Error Correction models.
  • Understanding of risk metrics like Value‑at‑risk (VaR), both historical and monte‑carlo simulation type for multivariate models.
  • Understanding of pricing of financial products: eg bond pricing, swaps, options, greeks, etc.
• Working expertise in non‑Traded Market Risk models/validation with a focus on market risk elements of IRRBB, liquidity and FVOCI models. The team also works in validations on pension risk, hedge accounting and PVA type of models, so an understanding of these models would be a bonus.
• Experience in data quality assessment, model specification, model selection, model testing and/or validation roles.
• Coding experience using R/Python or equivalent language/software.
• Highly organised in terms of documentation and follow through. Literate with excellent writing, reviewing/editing and presentation skills.
• Good communication and influencing skills.
• Self‑motivated team player with a strong sense of ownership, able to identify existing gaps and proposing continuous improvements.

• Good knowledge of at least some of the applicable UK, European and US regulations (ICAAP IRRBB, ILAAP Liquidity, hedge accounting).
• Knowledge of the Banking Book, its businesses and products.
• A PhD in a quantitative subject (e.g. Math, Engineering, Statistics or Economics)

You may be assessed on the key critical skills relevant for success in role, such as risk and controls, change and transformation, business acumen…