Go to job search

Model Risk Officer

Appcast, City of Westminster

Model Risk Officer

Salary not available. View on company website.

Appcast, City of Westminster

  • Full time
  • Permanent
  • Onsite working

Posted 5 days ago, 15 Apr | Get your application in now to be included in the first week's applications.

Closing date: Closing date not specified

job Ref: 58dc032d49704f739c14e5da9c2bf250

Full Job Description

  • In this keyrole, you'll undertake the validation of derivative pricing modelsand ensure that models are managed within the requirements of thebank's model risk policy and riskappetite
  • You'll ensure model limitations areidentified, communicated to stakeholders and effectivelymitigated
  • We'll look to you to help develop,maintain and implement proportionate mandatory procedures for modelvalidation activity
  • You'll gain great exposurefor you and your work, with the opportunity to develop keyrelationships with colleagues across Risk and NatWestMarkets
    • Whatyou'lldo As aModel Risk Officer your main role will be the validation and reviewof models used within NatWest Markets to help ensure the bank'smodels are managed within policy and appetite. By conductingthorough quantitative analysis, you'll assess their performance androbustness. You'll preparecomprehensive validation reports and documentation, supporting thedelivery of bank wide policy and mandatory procedures for thegovernance and control of model risk, through effective trackingand proactive escalation of issues and compliance with theoperational riskframework. You'll alsobe:
  • Managing asmall team of validators providing oversight to their validationactivity and support their development
  • Workingwith the team to design and roll-out a bank-wide risk appetiteapproved by the bank's executive and cascaded to businesses,functions and legal entities
  • Assisting allareas in having appropriate governance and minimum standards inplace to enable each area to report and manage their model risk andremain within their executive's riskappetite
  • Working to effectively and proactivelysupport model risk with the management and remediation of itsinternal and external auditissues

    We'relooking for significant experience of model validation ordevelopment of xVA models and front office pricing models e.g.currencies, rates. You'll need a strong understanding of thefinancial industry and regulatoryrequirements.
    • You'll haveproject management experience with a demonstrated ability toestablish a clear direction and set and track objectives. Crucialto your success in this role will be problem solving, analyticalskills, develop effective relationships and your ability tocommunicate with and influence seniormanagement. You'll alsohave:
  • Extensivemodel development or validation experience in a marketsbusiness
  • An advanced degree such as a Master'sor PhD in Quantitative Finance, Mathematics, Statistics, or arelated field
  • The ability to code in Python ora proven record of coding in otherlanguages
  • Knowledge of key model riskregulation such as SS1/23
  • Financial acumen andthe ability to understand model risk in the context of derivativepricing models
  • Experience writing andproof-reading papers of sufficient quality to be submitted tosenior management regulators and auditors
  • Theability to work closely with senior team members to deliveroutcomes consistent with industry leadingpractices

Do you like this job?

We can email jobs like this to your inbox

  • Facebook

Direct job link

https://www.jobs24.co.uk/job/model-risk-officer-124939305
Relevant jobs

Successful jobseekers create high quality email alerts

A great alert means less time searching & more time applying.