Senior AVP Model Risk Management

Our client is a leading global bank with a prominent Center of Excellence in Krakow. This isn't just any bank; it's one of the institutions that significantly impact the global stage and one that we can all be proud to be associated with. In the face of increasing regulatory demands on banking activities worldwide, coupled with market-driven pushes for efficiency and digital transformation, maintaining a competitive edge in the banking sector is a formidable challenge.

Responsibilities:

• Undertake model validation activities as dictated by the Global Model Risk Policy including the assessment of; model inputs, calculations, reporting outputs, conceptual soundness of the underlying theory and the suitability of the use for its intended purpose, relevance and completeness of data, qualitative information and judgements, documentation, and implementation of the model.
• Provide written reports detailing the results of validations highlighting issues identified during the validation.
• Validate remediation activities completed by the ILOD to ensure appropriate resolution of identified issues.
• Work with relevant stakeholders to support the embedding of new Global Model Risk Policies and Procedures.
• Provide coaching and guidance to new starters and junior colleagues.
• Deliver, high quality, timely validation reports that add value to the business.
• Liaise with 1LOD and other model stakeholders as appropriate to ensure issues have been adequately resolved.
• Communicate across technical quantitative, business, and strategic levels to ensure that stakeholders understand the implications of model risks and limitations.

Requirements:

• Master’s or PhD degree in a quantitative discipline like Financial Mathematics, Statistics, Econometrics, Quantitative Finance, Economics or Engineering.
• Knowledge in Wholesale Credit, Stress Testing and/or Front Office Modelling and IRB and/or IFRS9 regulatory requirements.
• Comprehensive knowledge of statistical model and scorecard development techniques.
• Knowledge of Risk models, performance metrics and risks and associated issues.
• Experience with some statistical modelling software / programming language e.g. SAS, Python, R, Matlab, C++, VBA.
• Experience of developing and reviewing models throughout the customer lifecycle.
• Experience of presenting recommendations to Senior Management.
• Experience of conducting independent model reviews.

We offer:

• Competitive salary
• Remote working
• Multisport card
• Private medical care
• Life insurance