Model Risk Validation Manager

NatWest Group; City of Edinburgh; On-site; GBP 65,000 - 90,000; Full time

Job summary

A leading financial institution seeks a Model Risk Validation Manager to oversee the validation of derivative pricing models. The role involves managing a team, ensuring compliance with risk policies, and conducting quantitative analysis to assess model performance. Ideal candidates will have significant experience in model validation, an advanced degree in a relevant field, and strong project management skills.

Qualifications

• Significant experience in model validation or development of xVA models.
• Strong understanding of financial industry and regulatory requirements.
• Extensive model development or validation experience in a markets business.

Responsibilities

• Validate derivative pricing models and ensure compliance with risk policy.
• Prepare comprehensive validation reports and documentation.
• Manage a small team of validators and oversee their validation activities.

Skills

Analytical skills

Problem solving

Project management

Communication

Relationship building

Education

Master's or PhD in Quantitative Finance, Mathematics, Statistics

Tools

Python

Job description

Join us as a Model Risk Validation Manager

• In this key role, you’ll undertake the validation of derivative pricing models and ensure that models are managed within the requirements of the bank’s model risk policy and risk appetite
• You’ll ensure model limitations are identified, communicated to stakeholders and effectively mitigated
• We’ll look to you to help develop, maintain and implement proportionate mandatory procedures for model validation activity
• You’ll gain great exposure for you and your work, with the opportunity to develop key relationships with colleagues across Risk and NatWest Markets

What you'll do

As a Model Risk Validation Manager your main role will be the validation and review of models used within NatWest Markets to help ensure the bank’s models are managed within policy and appetite. By conducting thorough quantitative analysis, you’ll assess their performance and robustness.

You’ll prepare comprehensive validation reports and documentation, supporting the delivery of bank wide policy and mandatory procedures for the governance and control of model risk, through effective tracking and proactive escalation of issues and compliance with the operational risk framework.

You’ll also be:

• Managing a small team of validators providing oversight to their validation activity and support their development
• Working with the team to design and roll-out a bank-wide risk appetite approved by the bank’s executive and cascaded to businesses, functions and legal entities
• Assisting all areas in having appropriate governance and minimum standards in place to enable each area to report and manage their model risk and remain within their executive’s risk appetite
• Working to effectively and proactively support model risk with the management and remediation of its internal and external audit issues

The skills you'll need

We’re looking for significant experience of model validation or development of xVA models and front office pricing models e.g. currencies, rates. You’ll need a strong understanding of the financial industry and regulatory requirements.

You’ll have project management experience with a demonstrated ability to establish a clear direction and set and track objectives. Crucial to your success in this role will be problem solving, analytical skills, develop effective relationships and your ability to communicate with and influence senior management.

You’ll also have:

• Extensive model development or validation experience in a markets business
• An advanced degree such as a Master's or PhD in Quantitative Finance, Mathematics, Statistics, or a related field
• The ability to code in Python or a proven record of coding in other languages
• Knowledge of key model risk regulation such as SS1/23
• Financial acumen and the ability to understand model risk in the context of derivative pricing models
• Experience writing and proof-reading papers of sufficient quality to be submitted to senior management regulators and auditors
• The ability to work closely with senior team members to deliver outcomes consistent with industry leading practices