Manager - Model Oversight

at  UKIB

Closing Date
20-09-2024
About UK Infrastructure Bank
We are the new, government-owned policy bank - launched in June 2021 - providing £22bn of infrastructure finance and partnering with the private sector and local government to finance a green industrial revolution and drive growth across the United Kingdom.
We are looking for skilled and results oriented individuals who are motivated to help us build the UKIB into an industry-leading institution.
Job Purpose
The Model Risk Manager role is critical to ensuring long-term success of the Bank and will play a significant role in developing the Bank’s financial risk framework and model risk framework.
As Model Risk Manager, you will be a member of the Financial Risk team, which forms part of UKIB’s wider Risk Management Group. You will report to the Head of Financial Risk and will work very closely with members of the Risk and Compliance Team as well as colleagues across the bank.

Core Role Accountabilities:

• Participate actively to the development and maintenance of the Bank’s economic capital modelling, stress testing, credit and liquidity risk modelling. This includes the ECL model and engagement with internal stakeholders and External Auditors to ensure their agreement as to the adequacy of IFRS 9 general provisions.
• Test and challenge overall portfolio credit risk models (default probability, stress testing, risk rating distribution, portfolio concentration) to optimise decision-making.
• Lead the model oversight framework to ensure quality, consistency, and appropriate governance around model risk in the bank. This will include leading the challenge process with the model author and presenting findings at the Model Risk Oversight Committee.
• Accountable for the development and review of relevant policies and procedures to ensure the Bank is at the forefront of best practice in model risk management.
• Participate to the development of the financial risk system architecture and reporting of financial risk data from the IT systems and financial risk management systems, the testing and validation of Financial Risk valuation models and the development of financial risk measurement methodologies.
• Secretary of the Model Risk Oversight Committee, you will be essential in developing and rolling out the bank’s best practices in terms of financial modelling, including through in-house training of relevant staff, liaising with the relevant committees and participating in projects as required.

Knowledge. Skills and Experience

Experience and Knowledge:

• Proven professional experience in financial model validation techniques and financial model risk management processes.
• Preferred experience in business or economic modelling departments
• Quantitative background, owning a degree / MSc degree in a quantitative subject, a degree in financial mathematics, a professional accountancy qualification or other relevant quantitative finance qualification.

Skills:

• Strong analytical, presentation and numeracy skills
• Skilled communicator including strong report writing skills and ability to train in-house staff in model best practices.
• Strong attention to detail and well-organized; ability to prioritize, multi-task and work well under pressure.
• Self-motivated and works well independently; capable of taking initiative without prompting.
• Advanced programming skills allowing relevant analysis & assessment of model features and carrying out comparison of model alternatives.
• Strong problem-solving techniques, including the ability to identify, research and resolve unfamiliar issues.
• The ability to clearly communicate issues with a high level of confidence, maturity and credibility to key stakeholders.

A career with us offers a unique opportunity to make a lasting impact and work on cutting-edge technologies that will drive the UK’s future. We value diversity in our people and inclusion is at the heart of what we do.
We offer competitive benefits and unique learning opportunities from combining both private and public sector skills and experience.

• Participate actively to the development and maintenance of the Bank’s economic capital modelling, stress testing, credit and liquidity risk modelling. This includes the ECL model and engagement with internal stakeholders and External Auditors to ensure their agreement as to the adequacy of IFRS 9 general provisions.
• Test and challenge overall portfolio credit risk models (default probability, stress testing, risk rating distribution, portfolio concentration) to optimise decision-making.
• Lead the model oversight framework to ensure quality, consistency, and appropriate governance around model risk in the bank. This will include leading the challenge process with the model author and presenting findings at the Model Risk Oversight Committee.
• Accountable for the development and review of relevant policies and procedures to ensure the Bank is at the forefront of best practice in model risk management.
• Participate to the development of the financial risk system architecture and reporting of financial risk data from the IT systems and financial risk management systems, the testing and validation of Financial Risk valuation models and the development of financial risk measurement methodologies.
• Secretary of the Model Risk Oversight Committee, you will be essential in developing and rolling out the bank’s best practices in terms of financial modelling, including through in-house training of relevant staff, liaising with the relevant committees and participating in projects as required