Model Risk Validation Officer

Warszawa, Poland
Permanent - Full Time
NatWest Group
Job category
Risk Oversight & Challenge - Control, Oversight & Assurance
Closing date for applications: 13/12/2020

Join us as a Model Risk Validation Officer

  • This is an opportunity for a passionate and driven risk specialist to join us
  • We’ll look to you to validate our models used in managing our retail and business banking portfolios to make sure that key model risks are considered in the development of model use strategy
  • It's an ideal role to gain detailed exposure to the developing world of model risk, as well as to a range of stakeholders and senior executives

What you'll do

This role will see you validating and providing oversight to a range of retail and business banking models. You'll also be undertaking data analysis to make sure that model and data risks are identified and adequately highlighted as well as assessing the models’ compliance with regulations, internal policies and standards. Your validation activities will be both qualitative and quantitative, and you'll perform sensitivity analysis to assess model or data assumptions.

Models in scope will include, but not limited to, scorecards, retail IRB, IFRS 9, and stress testing models from across the bank. You'll present your validation findings to internal stakeholders and produce validation reports for consumption of model owners, users, senior management and regulators.

Your responsibilities will also include:

  • Providing oversight and challenge to the management of models impacting retail portfolios and undertaking model risk assessments to identify potential risks
  • Enhancing our model risk management framework and validating our infrastructure
  • Undertaking in-depth assessments of the models, specification, performance and input data to make sure models are fit for purpose for their designated use
  • Making sure that model risk management aligns with our model risk policy and regulatory expectations
  • Providing expert advice on aspects of risk management, including providing senior executives with relevant MI and reports, escalating concerns where appropriate

The skills you'll need

We’re looking for someone with a quantitative degree and significant experience of developing, reviewing, validating or implementing analytical credit risk measurement tools. You should have a sound understanding of Basel IRB requirements and a good working knowledge of Python or SAS.

It would be an advantage if you have knowledge of IFRS9 standards and modelling approaches, and experience of developing, validating or managing retail credit scorecards. A familiarity with the retail credit risk management lifecycle across retail banking products such as mortgages, personal loans, credit cards and bank accounts is also beneficial.

We’ll also expect:

  • The ability to communicate, both verbally and in writing, to senior colleagues
  • A strong capability in the use of standard, non-specialist software tools including Excel, PowerPoint and Word
  • Excellent attention to detail