Model Validation Analyst

Barclay Simpson are pleased to be representing a specialist mortgage bank in their search for a Model Validation Analyst.  Sitting in the group risk office, this is a newly-created role and part of a firm wide strengthening of the risk management capabilities, and in particular driven by the ongoing IRB application.  The successful applicant will be tasked with performing the validation of a range of models, primarily credit risk but also treasury risk, as part of a team of 5.   Currently, most of the firms model validation is provided by an external firm and the person they hire into this role will be part of the “in-sourcing” of this activity.

The firm offer fully remote and flexible working and employee’s can be based anywhere in the UK.

Key Responsibilities:

•  Support independent validation of credit risk models (A-IRB models, IFRS9, Loss forecast models
  and Scorecards):
  o Review numerical implementation of model design choices and assumptions
  o Review and validate any external data used in internal models
  o Ensure models are validated in line with UK regulatory requirements
  o Prototyping challenger models to strengthen independent validation outcomes when
  appropriate
  • Support the validation of other models as required, such as finance, pricing, and treasury.
  • Produce monthly reports of key model risk/validation metrics
  • Assist in the resolution of audit findings
  • Participate in the review and enhancement of internal standards and policies
  • Conduct / support reviews of Atom’s data infrastructure.
  • Track and provide oversight of remediation activities of validation findings
  • Make recommendations on risk appetite metrics, limits and KRIs feeding into management and
  governance reporting

​Key Requirements:

• Degree in a numerate discipline with a high degree of statistics or comparable qualification.
• Model validation experience in the UK financial services sector in credit risk modelling
• Specific experience of developing or validating A-IRB and IFRS9 models for UK residential mortgages
• Reviewing numerical implementation of model methodologies and assumptions
• Experience of data analysis tools, such as R or similar.
• Working knowledge of statistics and econometrics.