Consumer Risk Model Review (VP level) recruitment
The effective management of models, to optimize their use and identify and understand the nature of model risks, is critical to ensuring the bank remains competitive and appropriately mitigates risk. The bank considers validation to be a key aspect of model governance, and has tasked a dedicated team within the group to validate the key risk models used across all the consumer lines of business – covering lending products such as mortgages, credit cards, auto finance, and checking account overdrafts.
Validation processes include independently reviewing new risk models being considered for implementation, empirically back-testing existing models already in use, and comparing the performance of risk models to appropriate benchmark models. The review of new models covers the entire model development process, from project design and initiation to delivery of the final model for implementation, with an emphasis on assessing the conceptual soundness of the model design and that statistical and data tests have been appropriately completed.
Key risk models include a wide variety of models, such as scorecards used to assess credit and fraud risk through the credit lifecycle, and loss forecasting models. The validation team must therefore develop knowledge of many different modeling approaches. While performing validation projects, the team must also develop a sound understanding of a broad array of processes used in mortgage, credit card, auto finance, and other consumer lending, so that risks identified during the validation process can be put in context relative to other challenges faced by the bank, and prioritized accordingly.
The validation team is expected to leverage its knowledge of business processes, modeling methodology, and model risks to facilitate improvement in model practices and optimization of the use of models throughout all the consumer lines of business. It is also expected to closely liaise with other validation teams within the bank, such as those validating valuation models used by the investment bank, to ensure validation practices are appropriately consistent and collaborate on validation of models which contain elements of consumer credit risk. Candidates for the validation team must therefore be interested in continual learning, with a focus on blending deep understanding of statistical modeling with broad knowledge of banking operations.
Roles and Responsibilities:
The incumbent of this position is expected to perform a leadership role in developing the review function and completing the following objectives:
• Independent reviews of processes used to develop new risk models, including identification of weaknesses in the development process, assessment and prioritization of the level of risk associated with those weaknesses, documentation of the review project and results, and communication of results to management and model owners.
• Back-testing the performance of existing risk models used by the bank, benchmarking model performance against performance of similar models, and summarizing and communicating test results.
• Assisting with the design, development, and implementation of model review processes, including development of templates and procedures manuals.
• Liaising with the Risk Model Infrastructure team to design enhancements to model inventories and other technology infrastructure used to support validation work.
Core Skills:
• Advanced degree (master or above) in a quantitative subject, such as Mathematics, Statistics, or Economics. A PhD is preferred.
• At least 4 years experience in consumer risk modeling, preferably with a blend of model development and model validation
• Excellent written and oral communication skills
• Strong programming experience in SAS
• Ability to complete projects within timeframes and budgets
Preferred Skills:
• Experience in loss reserving processes
For further information please contact John Meadowcroft on 020 7780 6700. Alternatively forward your CV to John.Meadowcroft@AnsonMcCade.com