Job Description
Overview With the bank now firmly on its AI journey, your role here will be to take the lead on oversight of how both AI and new commercial models are being created. With more of a focus on newer models rather than legacy ones, youll be working hand-in-hand with model developers to ensure robustness. Basically, to ensure a structure is in place to validate that model. AI is just another model just a different family of models. For any model to work, it requires the right data, the right modelling technique and we need to put ourselves in a position to be able to standardise, document and test it. Head of Model Risk Your Role On this journey, the bank is now using more advanced, innovative modelling techniques. In focusing on this new wave of models, youll mainly be addressing the commercial modelling side both propensity models and behaviour models. With some of the latter being stylistically similar to some regulatory models - youll likely see some exposure with those also. Overall, youll assess the effectiveness of proposed and implemented models within the bank. Youll bring independent thought and a strong element of constructive challenge to model design, development, implementation and use. In acting as a senior advisor to the Head of Model Risk your role is to add real-world context to model risk. This means assessing the wider macro-economic picture and how likely consumer behaviour will affect the bank's models. Your main goal then is to ensure models have real relevance in their ability to forecast for the future and are not just models to 'tick a box'. On top of this, you'll be a main contact point for the model risk function with both the Central Bank & the Executive Board. This is an opportunity for someone to come in & shape the banks AI journey & they certainly dont have to come from banking. If you understand a model & what it is trying to achieve you can crossover from any area. Yes, quantitative skills are needed but as important as that is being able to influence stakeholders & problem solve collaboratively. Your Day-to-Day - Lead the independent initial validation of models and provide opinion as to fitness for purpose to Model Owners and Governance committees which is a condition for approval for use. - Lead the independent periodic validation of models and provide opinion as to fitness for purpose to Model Owners and Governance committees which is a condition for on-going use. - Develop and maintain appropriate standards, models and techniques for validating and assessing model performance. - Interact with model owners and model developers, particularly during model development projects, encouraging the exchange of ideas, tabling of issues, discussion and challenge of critical modelling decisions. Your Background A high level of quantitative ability up to at least undergraduate degree level in a highly numerically oriented subject Proven ability to communicate the output of quantitative analysis, in particular to a non-technical audience who will need to make decisions based on your advice. Ideally some experience of general programming in any coding language.