The LL6 Model Risk Manager is a critical function within the Enterprise Risk team, reporting to the Head of Enterprise Risk, and will have material exposure to senior management up to and including the Board of Directors.
The role will support FCE across all of its European markets. Although FCE is primarily regulated by the UK FCA and PRA, in certain markets there are additional local regulatory requirements.
The Enterprise Risk team is predominantly a second-line function within the Lines of Defence model, providing advice to and independent assurance over first-line risk functions, in particular Treasury-related risks and planning activities (funding, capital, liquidity, interest rate, foreign exchange) and model risk. Its stakeholders include Board-level committees, Executive Committees, Risk committees, ALCO, Treasury, Analytics and Finance.
Qualifications
Essential Experience/Skills
* Master’s degree in a technical discipline, e.g. Statistics, Mathematics, Econometrics, Financial Engineering
* Expertise in Expected Credit Loss modelling (IFRS9)
* Expertise in banking-risk disciplines: Credit Risk, Market Risk, Operational Risk, Rate Risk
* Expertise in developing or validating stress testing models via an analytical position
* Management of business stakeholders and conflicting priorities
* Data science skills, including the application of data to support, review or challenge business decisions
* Pragmatic problem-solving capability
* Knowledge of various model development and validation approaches and governances
* Strong written and verbal communication skills, including the development and delivery of technical presentations for non-technical audiences, including senior committees
* Excellent Microsoft Office skills
* Excellent SAS, Alteryx and Excel VBA skills
Desirable Experience/Skills
* PhD in a technical discipline, e.g. Statistics, Mathematics, Econometrics
* Knowledge and experience of developing IRB approaches
* Working with or for Regulators
Additional Information:
This is a UK position and applications will only be accepted from current UK permanent employees (FoB and FCE employees only).
The Company is committed to diversity and equality of opportunity for all and is opposed to any form of less favourable treatment or harassment on the grounds of race, religion or belief, sex, marriage and civil partnership, pregnancy and maternity, age, sexual orientation, gender reassignment or disability
If you are concerned about applying due to disability, please contact us; we’re an inclusive team and would like to discuss what adjustments we can make to support your application.
This is a full-time role, however we are keen to encourage applications from applicants who work flexibly including job-share applicants, who would like to work with another job-share applicant to do this role (even if you currently do not have a job-share partner). The Job Share Connect tool allows you to create your profile and then find a job share match.
This position is based in Dunton and it is expected the successful candidate will be able to attend the Dunton office for typically 2 to 3 days a week and remain flexible on the days they are required to attend the office according to business requirements.
Note: Banking and Compliance training including fair treatment of customers is mandatory for all FCE employees. Necessary training will be given to any successful candidates that require it.
Responsibilities
Model Risk Management
* Developing, implementing and maintaining the Model Risk Management Policy and Model Risk Management Frameworks to ensure continued compliance with changing regulatory and corporate requirements
* Maintaining the model inventory by working with model owners, model developers and independent validation teams to ensure that models are catalogued, monitored, developed, validated, remediated and approved in line with policy and frameworks
* Developing and implementing methods for measuring and reporting model risk, including inherent model prudence and the setting of model risk appetites in line with the Risk Appetite Framework
* Proposing and assessing Post-Model Adjustments to counter model limitations and mitigate model validation findings
* Assessing and presenting model validation findings to governance committees as part of the model approval process
Model Development
* Providing subject-matter expertise to support model developers, in particular to meet regulatory expectations for ICAAP Pillar 2 models covering credit risk, operational risk, market risk, rate risk and concentration risk
* Researching and developing challenger models, and ad-hoc models for stress testing and sensitivity analysis
Model Validation
* Researching and proposing model validation concepts to inform independent validation activities
* Performing model validation where allowable whilst ensuring independence from model development
Enterprise Risk Support
* Supporting other Enterprise Risk activities, including ICAAP, Recovery Plan, Risk Appetite Framework, scorecard models and ESG strategy
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