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Senior Manager - Risk Model Development

M2 Professional Recruitment Services Ltd
Closing date
25 Sep 2021

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The Senior Manager - Risk Modelling Analytics is a second-line role reporting to the Head of Risk Modelling Analytics. The role will play a critical part in positioning Model Risk and Innovation as a strategic enabler of the business, helping to create a modernised and increasingly nimble Risk function, and will be responsible for leading a team of analysts in the creation and provision of meaningful analysis across the Bank. The primary areas of accountability include:
  • Leading the provision of Risk insights from models, including ECL/Provisions, ICAAP/Budgeting, Financial Resource Management and Affordability to support decision-making across the Group and ensuring key risks are identified and escalated.
  • Managing the efficient and timely delivery of systems, rules and other modelling changes, designing testing, training and reporting as required.
  • Performance managing, coaching and developing a team of highly technically skilled analysts and ensuring that direct reports build the appropriate skills to perform their duties.

You will report into the Head of Risk Modelling Analytics, who will be your line manager and responsible for things like performance review meetings, 1-1s and development conversations.

The role of Senior Manager - Risk Modelling Analytics is important to us. In addition to the primary accountabilities, your responsibilities will also include:
  • Driving forward the various Modelling Analytics processes, which include:

o Owning the ECL process, including maintenance of the ECL engine, documentation, and reporting of ECL outputs.

o Delivering timely forecasts and insight to provisions and impairments including support for financial budgeting processes.

o Providing insightful Risk input to ICAAP - Pillar 2A and Pillar 2B Credit, Credit Concentration, Residual Value and Voluntary Termination Risk.

o Leading Risk components of FRM, engaging with the broader FRM initiative as required.

o Supporting the use of Risk origination models and auto-decisioning across the Group.

o Maintaining Affordability, Valuation and other models owned by the team.
  • Ensuring that the data used to deliver analysis is fit for purpose in terms of quality, quantity, breadth, and timeliness.
  • Leading the completion of annual model reviews (for non-regulatory models) to agreed timelines.
  • Ensuring correct implementation of models and model changes. This may include the construction and delivery of test plans and model implementation technical specifications.
  • Providing input and oversight to key Risk systems used to support Risk management.
  • Managing the design and delivery of key analytical tools which support Risk management including the creation and delivery of auto decisioning capabilities, both on a tactical and strategic basis.
  • Tracking compliance with all modelling policies and processes/procedures.
  • Supporting IRB accreditation with additional analysis, information or documentation as required.
  • Performance managing a team of analysts to deliver against agreed plans and timescales, coaching team members in the production of analysis and technical reports, ensuring appropriate skills, career development, talent management, retention and progression
  • Deputising for the Head of Risk Modelling Analytics where required.

Key Requirements:
  • Technical skills developed in a quantitative environment, with hands-on experience of credit risk analysis within banking.
  • Deep analytical experience, with high aptitude for data analytics and problem solving.
  • Detailed understanding of relevant regulatory requirements, as applicable to IFRS 9/ECL, ICAAP, etc..
  • Skilled in the extraction and manipulation of data to support model and portfolio analytics.
  • Demonstrated experience in leading and managing teams through successful delivery of credit risk analytics.
  • Advanced Excel, PowerPoint, and Word skills.
  • Proven communication skills, with the ability to translate technical analysis into business language and produce high-quality reports to aid senior management understanding.
  • Passion for analytics and learning, expanding own knowledge and skills to help improve performance, setting high expectations and standards for self and others.
  • Strong SAS coding experience.
  • Advanced Excel, PowerPoint, and Word skills.
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