Manager, Credit Risk Model Validation
The Role Responsibilities
- Perform an independent validation of new and existing credit risk models that are used in risk management, capital calculation, stress testing etc.
- Qualitative review of model development process including underlying assumptions & theoretical basis, including assessment of model components against relevant regulatory requirements
- Quantitative assessment of model performance via data evaluation and statistical testing.
- Documentation of validation findings and communication of results to senior management and presentation to relevant committees.
- Coordination with internal stakeholders on model issues, achieving suitable resolutions.
- Manage and complete the model validation from end-to-end, whilst meeting the planned timelines and required standards.
- Recommend (statistical) improvements to the models.
- Review models according to regulatory requirements and industry practice
- Assist Head of Model Validation in addressing concerns or questions relating to the models.
Governance
- Submission of model validation reports to relevant Model Assessment Committee
- Attend Credit Model Assessment where the report is being presented for approval
Regulatory & Business Conduct
- Display exemplary conduct and live by the Group's Values and Code of Conduct.
- Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across the Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines, and the Group Code of Conduct.
- Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct, and compliance matters.
Our Ideal Candidate
- At least a Masters's level qualification in statistics, banking, finance, econometrics, mathematics or a related quantitative field (preferably also a quantitative/statistics-based PhD).
- Extensive proven experience in quantitative Wholesale Model Validation (PD, EAD, LGD) and/or Model Development.
- Strong knowledge with regards to EBA, PRA, and preferably German regulatory rules
