74 258
6 906
AVP Market Risk Model Validatior
Kraków - remote
NR REF.: 1191251
Your new company
Model Risk Management (MRM) is structured as a global function, headed up by the Chief Model Risk Officer (CMRO). The MRM function reports directly to the Group Chief Risk and Compliance Officer (GCRCO) ensuring its independence from the model developing and owning areas of the firm.
MRM are the second line of defence (2LoD) for Model Risk and the CMRO is the global Model Risk Steward for the group and is also accountable for the global operation of the MRM function. MRM teams are based in each region, to ensure local subject matter expertise and to guide, review, and challenge. MRM activity is managed on a global basis as many models are used in multiple locations. This enables MRM to operate consistently and efficiently globally, and to take account of additional local
regulatory requirements.
Independent Model Validation is a specialist quantitative role within the Model Risk Management team responsible for carrying out independent validations of model landscape, in order to identify and communicate model limitations and issues. This role is part of the Retail & Private Bank validation team. Independent Model Validation provides independent challenge of a model’s underlying theoretical assumptions and limitations, its practical implementation, its live application and business usage, providing stakeholders (including model users, senior management, audit and regulators) with assurance that models and tools developed, maintained and used within Group are fit for their intended purposes and are compliant with applicable internal and supervisory expectations. They will also review remediation plans and activities, undertake portfolio level reviews across model types and challenge the model owners on the appropriate application of relevant policy of models.
Your new role
Undertake model validation activities as dictated by the Global Model Risk Policy including the assessment of; model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model.
Provide written reports detailing the results of validations highlighting issues identified during the validation.
Validate remediation activities completed by the ILOD to ensure appropriate resolution of identified issues.
Work with relevant stakeholders to support the embedding of new Global Model Risk Policies and Procedures.
Provide coaching and guidance to new starters and junior colleagues.
Deliver, high quality, timely validation reports that add value to the business.
Liaise with 1LOD and other model stakeholders as appropriate to ensure issues have been adequately resolved.
Communicate across technical quantitative, business and strategic levels to ensure that stakeholders understand the
implications of model risks and limitations.
What you39ll need to succeed
Master’s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering.
Knowledge in Retail Credit, Stress Testing and/or Front Office Modelling and some knowledge of IRB and/or IFRS9 regulatory requirements.
Comprehensive knowledge of statistical model and scorecard development techniques.
Knowledge of Risk models, performance metrics and risks and associated issues.
Knowledge of internal procedures and local regulations and those of other country regulators would be an advantage.
Experience with some statistical modelling software / programming language e.g. SAS, Python, R, Matlab, C++, VBA.
Experience of developing and reviewing models throughout the customer lifecycle.
Experience of presenting recommendations to Senior Management.
Experience of conducting independent model reviews.
What you39ll get in return
Competitive salary
Annual performance-based bonus
Additional bonuses for recognition awards
Multisport card
Private medical care
Life insurance
One-time reimbursement of home office set-up
Corporate parties & events
CSR initiatives
Nursery discounts
Financial support with trainings and education
Social fund
Flexible working hours
Free parking
What you need to do now
If you39re interested in this role, click 39apply now39 to forward an up-to-date copy of your CV, or call us now.
Hays Poland sp. z o.o. is an employment agency registered in a registry kept by Marshal of the Mazowieckie Voivodeship under the number 361.