Senior Model Risk Analyst

Job Summary by the careerbalance.co.uk Team:

30Job Description:

Senior Model Risk Analyst

INSIDE IR35

Coventry Office – Hybrid

3 months

My large client in the financial sector is currently looking for an experienced Senior Model Risk Analyst to join their team on a 3 month contract basis to assist with various model risk management activities that are required on incumbent and new models used across my client’s Credit Risk function, ensuring that the requirements of the relevant regulatory frameworks (SS1/23 Model Risk Principles for Banks) and internal standards (eg the Model Risk Framework) are being met.

You will be supporting effective model risk management across the various 1st line Credit Risk functions where models are developed and deployed.

Some of your responsibilities in this role will include:

• Employ analytical and statistical techniques (knowledge of which has possibly been gained by prior use of such techniques in a credit risk or other analytical role).
• Understand and interpret independent validation reports on credit risk models.
• Have up-to-date knowledge of model risk management principles including of PRA Supervisory Statement SS1/23 and of the Society’s Model Risk Framework.
• Engage with model owners and developers to understand and undertake the range of activity required to bring incumbent and new models into compliance with my client’s Model Risk Framework. This could include:
• Undertaking statistical analysis.
• Performing gap analysis against Model Risk Framework requirements.
• Understanding the model risk activities required to address 2nd line validation findings.
• Writing documentation and updating model risk templates to close those gaps and findings.

Skills that would make you successful in this role:

• Educated to degree level (or higher) with particular emphasis on a numerate discipline (eg statistics, finance or mathematics related), or with demonstrable equivalent skills via experience.
• Understanding of Advanced IRB or IFRS9 modelling techniques (PD, LGD, EAD) for Retail credit portfolios, likely to have been gained through a previous model development or validation role. Relevant modelling experience in other asset classes or disciplines will be considered.
• Knowledge and experience of programming in SAS, SQL or R.

Apply now for immediate consideration.

Carbon60, Lorien & SRG – The Impellam Group STEM Portfolio are acting as an Employment Business in relation to this vacancy.

Location: West Midlands