Model Risk Management and Validation Head

45_73170206432

Obowiązki

• Coordinate the end-to-end model review and validation workflows for new and existing models and Validates the methods of measuring and analyzing risk, for all risk types including market, credit and operational.

• Supervising the model management processes including identification, measurement, development, validation and monitoring and ensures an integrated approach to model risk management in relation to all models used in the Bank.

• Evaluate the conceptual and technical soundness of diverse mathematical used in risk management across firm and authorize their use based on evaluation results.

• Provide effective challenge on the conceptual and technical soundness of the model, design, theory, assumptions, and framework through various testing.

• Provides direct oversight over model validation process and ongoing performance analysis from 2nd LOD’s perspective.

• Ensures the compliance of development and validation of models with respect to internal and external guidelines.

• Cooperation with the Banks organizational units that own models in obtaining information and data necessary to conduct validation, maintaining an appropriate level of documentation quality enabling functional and technical assessment of models and agreeing on recovery plans.

• Providing information, presenting validation results and obtaining approval for validation reports to the member of the Banks Management Board supervising the Risk Management Sector and to the Risk and Capital Management Committee, as well as providing other information regarding risk management of the Banks models.

• Preparing Annual validation plan and carrying our of the annual model risk assessment process and the model monitoring one.

• Identifying model limitations, formulating recommendation and action plans for individual models.

• Making binding decisions regarding the assessment of tools, methods and techniques in the model identification process.

• Ensuring supervision and monitoring of corrective actions carried out by the Banks organizational units regarding validated models.

• Analyzing conflicts of interest.

• Undertaking and coordinating actions aimed at maintaining acceptable level of model risk appetite at the Bank and implementing the Banks strategy in this area.

• Giving opinions on exceptions to the Policy.

• Recommending the risk appetite for model risk and providing oversight over model risk tolerance levels, escalating mode risk breaches and recommending actions plans.

Wymagania

• Minimum 10 years of experience in banking and knowledge of processes related to the risk management system and valuation of financial instruments.

• Masters degree in Economics or Technology (mathematics/econometrics/physics).

• Experience and knowledge in the area of ​​model management, including the applied statistical methods and numerical techniques related to the assessment of the quality of operation of credit, financial and market risk models.

• Experience in cooperation with internal auditors, the regulator and other organizational units of the bank.

• Ability to deliver compelling presentations and influence executive audiences.

• Experience and knowledge in team management.

• Ability to think technically and analytically and combine business and technical knowledge.

• Practical ability to use statistical tools.

• Ability to develop common solutions in the face of divergent goals and different perspectives.

• The ability to strategically plan, build a vision and determine the direction of change.

• Strong analytical skills and the ability to draw conclusions.

• Experience with analytical or data manipulation tools (e.g.python,SAS) Proficient with MS Office suite.

• Ability to drive innovation via thought leadership while maintaining end-to-end view.

• Fluent in written and spoken English and Polish.

• Effective cross-functional project, resource, and stakeholder management; effectively engage with internal audit and external regulators.

Oferujemy

• Job contract and social benefits (private medical care, fitness card, life insurance, pension programme, co-financing of cultural and entertainment events and more. Full list can be found here: www.karierawciti.pl under Benefits for you and Benefits for your loved ones sections).

• Access to e-learning platform (Degreed) as well as English learning platform.

• Possibility to gain globally appreciated work experience.

• Friendly and supportive culture and team.

• Flexible and partly-remote working conditions.

Źródło: Citi/Praca