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The Business We're hiring a Head of Central Model Risk to join us in London or Edinburgh
This challenging technical role will task you with providing independent review and validation of market risk, counterparty credit risk and economic capital models used across the bank
Your work will span both the ringfenced and non-ringfenced banks and a range of model types, making for enviable breadth, exposure, and opportunity to develop your skills
You'll be joining the team at a time of significant investment and growth, giving you the chance to help shape its future and benefit from the opportunities available
What you'll do
Reporting to the Head of Model Risk Management and acting as part of their leadership team, you'll provide assurance that market risk, counterparty credit risk and economic capital models across the bank are appropriate for their designated use, and ensure that significant model risks are identified and effectively communicated to senior management and end users. You'll lead and develop a technically adept team split between the UK and India, practising high standards of model validation and model risk control.
Key aspects of your role will include:
Developing, maintaining and promoting an effective risk-based approach to managing market risk, counterparty credit risk and economic capital model risk
Assessing model risk within your remit, and prioritising of the corresponding model validation effort
Presenting your position and rationale to senior approval committees, and attending meetings with the PRA
Partnering with third party providers providing additional independent validation; accepting and signing off work done
Clearly articulating the level of model risk for market risk, counterparty credit risk and economic capital models in the bank's model inventory, escalating any potential breaches of risk appetite
Engaging with the leadership of model development teams to establish a joint approach to managing the models in your remit, and prioritise work
The skills you'll need
We're looking for someone with deep leadership experience in model review or development roles, with in-depth understanding of modelling traded market risk, non-traded market risk, counterparty credit risk, economic capital, and pension risk, and the risks associated with their practice. You'll have experience of model validation and development, and of implementing models across complex organisations. It's demanding technical work, so we'll expect a postgraduate degree in a quantitative subject, such as Mathematics, Physics or Quantitative Finance.
We'll also be looking for:
Detailed knowledge of regulatory requirements in your space, and an awareness of the direction of travel from both a regulatory and industry perspective
Experience of developing a focused team; establishing a clear roadmap, setting and tracking, and motivating and mentoring them to success
Familiarity with Python and R and an understanding of how to embed their use; and awareness of artificial intelligence and machine learning
Excellent relationship building skills, both internally and externally, with experience of developing relationships with regulators
Strong communication and presentation skills, including when managing senior stakeholders up to board level, and challenging models' adequacy and our level of model risk
How we'll reward you
In return, we offer a competitive salary and you'll also join our retirement savings plan. You can also choose from a selection of protection, healthcare or lifestyle extras from RBSelect, our fully flexible reward programme.
Visit our reward and benefits page for more information on the benefit packages we offer.
At RBS, we want everyone to feel welcome, regardless of your background or needs. If you need adjustments making to your working environment, we'll do everything we can to support you. As part of this commitment, we offer flexible working options for some of our roles - find out more .
As a Financial Services organisation we comply with and support the requirements set by our Regulator, the Financial Conduct Authority (FCA), which are designed to protect our customers. This role falls under Conduct Rules of the Individual Accountability Regime (IAR) and is subject to pre-employment screening. This means if your application is successful, you'll need to satisfy some important background checks before you can start working with us. These will include a full credit check, a criminal record check, residency and right to work checks.
Internal Number: 4662413
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