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Senior Risk Analyst – Model Validation

About The Role

We have a great opportunity for you to join our expanding Prudential Risk team supporting  the Society in managing its Model Risk profile through undertaking independent model review and validation.  The role sits in Model Risk & Validation which forms part of Prudential Risk & Compliance, an independent risk function which reports directly to the Chief Risk Officer.

The validation team is relatively small and each member is able to make a significant contribution to the success of the team. This role reports to the Senior Manager, Model Risk & Validation, and is a technical role with no line management responsibilities.

You’ll focus on the technical review and challenge of incumbent and new models used across the Society, including evaluating the appropriateness of modelling methodologies, regulatory compliance, and alignment to internal governance standards.

You’ll be expected to apply a range of statistical and analytical techniques using specialist statistical software including development of performance metrics and challenger models. You’ll be expected to lead validation activity for specified models from initiation through to presentation of final results to Executive.

The role also requires the development of effective working relationships with key stakeholders across the risk function, Finance, Treasury and Product teams, including model developers and users, and more senior stakeholders.

We have a hybrid approach to where we work – you’ll spend some time in the office and some time working from home depending on what needs to be done and where you can do it best.

About You

You will have the confidence and ability to independently review and comment on current and proposed retail credit risk modelling methodologies and their regulatory compliance, whilst maintaining good relationships with model owners and developers. You will aim to be seen as a trusted advisor, who adds value through the application of your knowledge and judgement.

You will have a sound understanding of analytical and statistical techniques, and the knowledge, understanding and/or experience to validate credit risk models. Over time the role could provide exposure to a broader range of non-Credit models such as those used in our Treasury department.

You will be required to engage with model owners and developers, write up your findings, and present these to stakeholders, including to Senior Management (including at Executive level). You will need to be able to explain complex technical matters in a concise and easily understood format to senior but non-technical people.

In your current or previous roles you will have gained experience in an analytical or statistical environment primarily within financial risk management, model validation, or credit risk analysis.

Ideally you’ll be educated to degree level (or higher) with particular emphasis on a numerate discipline (ideally, statistics, finance or mathematics related) is necessary, or demonstrable equivalent skills through experience.

You will have an 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.

Experience of Scorecards (e.g. Application, Behavioural) would be an advantage and knowledge and experience of programming in SAS, SQL or R would be an asset, although training can be provided for the right candidate.   Advanced MS Excel skills are required and knowledge of balance sheet forecasting software e.g. QRM would be an advantage.

If you feel you have the right experience and skills and want to make a positive contribution to the continued success of the Coventry then please apply today!

 
The closing date for applications is 27th January 2022

Key Information

Role Title:
Senior Risk Analyst – Model Validation
Salary Details:
Up to £55,000 dependent on experience
Number of hours per week:
35
Location:
Hybrid
Vacancy Type:
Permanent - Full Time
27 Jan 2022