My client who are a highly regarded bank, are on the lookout for a new Credit Risk Model Risk Oversight Manager to work out of their office in Edinburgh. Below ar ethe full requirements for the role:
Common Purpose of Role:
Supports senior manager in defining standards, frameworks and oversight of Credit Model Risk. Undertakes analysis to support the independent assurance of key internal and regulatory deliverables including independent validation of model changes, calibrations, and monitoring; annual Capital Requirement Regulation (CRR) Compliance Attestation; and activities to support the EBA’s Targeted Review of Internal Models (TRIM).
- Demonstrate company values and behaviours whilst carrying out all aspects of role.
- Embrace diversity and help create an open and participative environment with effective teamwork, leadership and communication.
- Support the development of a high performance team.
- Establish strong relationships with senior stakeholders across the business, seeing through the implementation of initiatives and overcoming resistance and obstacles when encountered.
- Provide input and content for the high level standards for managing Credit Model Risk maintained by the second line. And review the detailed Credit Model Risk related policies created by the first line, ensuring they comply with these high level standards, Group requirements and all relevant regulatory requirements.
- Review the frameworks, and associated reporting, created by the first line to manage Credit Model Risk. And contribute to the periodic assurance that they are consistent with the bank-wide Risk Management Framework, provide adequate coverage of all relevant risks and are operating effectively.
- Provide analysis of proposals relating to proposals relating to Credit Model Risk. This includes, but is not limited to IRB Roll out plans; model redevelopment plans; model monitoring, calibration and associated remedial activities; data accuracy monitoring; and impact assessments / responses to changes in regulation (e.g. CRR).
- Deliver analysis to support the independent validation and reporting of Credit Risk models, which includes directly accessing the underlying risk data to provide assurance on the accuracy of model outputs (back-testing); discriminatory power; continued representativeness of any data used to build the model; model overrides; stability analysis; and evaluation of input data.
- Deliver independent assurance on compliance with key elements of relevant regulation. This includes Pillar 1 and 2 Credit Risk Models covered under the Chief Risk Officer’s annual CRR Compliance Attestation to the PRA. And second line assurance activities to support the EBA’s Targeted Review of Internal Models (TRIM).
- Coordinates the maintenance of key model governance related artefacts, including but not limited to the banks model inventory and action tracker.
- Experience covering a variety of products and services, coupled with experience working in a specialist Risk function (e.g. Model Risk /Capital Risk/Credit Risk).
- A proven background in quantitative risk assessment models and methodologies, with experience of leading analysts to produce model validation.
- Able to digest relevant regulations and standards. And to contribute to the internal interpretation and communication around these regulations and standards.
- Ability to understand complex issues, communicate with clarity and influence senior leaders including Heads of function and Senior Managers.