AVP - Statistical Model Development/Risk Management - Investment Banking

Principal responsibilities:

- We are currently seeking an ambitious senior modelling expert responsible for the end-to-end management of design, development, implementation and governance for Investment and Wealth models.

- You will be responsible for development of commercial modelling projects, strategic objectives, governance requirements and issue resolution for investment model category in GBP&W. Scope of models include Investment and Wealth models.

Impact on the Business:

- Support the management of core business activities across Models, relating to:

(1) Model Design, Development, Validation & Implementation

(2) Model Portfolio, Risk Analytics & Risk Mitigation

(3) Model Monitoring, Control, Standards & Documentation, and (4) Model Governance across Group, Policy & Regulatory Risk.

- The roleholder will be responsible for development of investment and wealth models -

(i) designing and execution of product risk ratings for Mutual Funds, Bonds, Structured Products and Stocks.

(ii) design and maintain the SAA and Aladdin advisory model used for Advisory and Discretionary businesses.

(iii) Help develop Artificial intelligence (AI) model applications for GPB&W business.

(iv) Develop different propositions and client capabilities to support ESG, margin trading, etc. As an expert in investment product risk, they will also provide key enhancements into designing future state methodologies for investment models.

- Work across GPB&W to effectively manage model risks, increase model coverage and implement globally consistent model systems, standards, policies, processes, methodologies and governance across all regions.

- Engage with stakeholders across all areas, business functions, and regions in identifying local regulatory issues, feeding these requirements into global model program design and ensuring compliance with global and local model regulations.

- Develop and review models according to feedback or requirements from our stakeholders, prepare pre-implementation validation reports for local use (countries or legal entities), develop models specific to a country or a business if required by regulators, support annual model validations, check the run, monitoring and validation of data, develop model prototypes, implement models, UAT of the models, and maintain official model documentation.

- Administrate global and local governance through the GPB&W Model Oversight Forum and other technical committees, IMR and Audit, oversight the global and local model output to ensure its being appropriately used, and support the local and global business teams in model use.

- Run the model, produce global and local results, rollout models to new legal entities as required, run stress tests, document the processes, calculation runs and checks, monitor the model, and statistically validate the input data (scenario and internal loss data).

Customers / Stakeholders:

- Working collaboratively with all Stakeholders (Compliance, Legal, Risk, Chief Control Office, Senior Management and Group Procurement).

- Develop IWS policies which uphold Regulatory expectations, protect the Bank and ensure consistent application of controls.

- Work across the CCO community to ensure key controls are captured in local RCAs and that operational issues with key controls are escalated to Senior Managers.

Operational Effectiveness & Control:

- Ensures adherence to all relevant FIM and Internal Control procedures.

- Provides leadership and assists in driving a compliance culture across the business.

- Maintain cost discipline; improve efficiencies through standardisation under global framework.

- Establish goals and set priorities while balancing competing regulatory and management requirements ensuring proper governance and timely escalation of issues.

Leadership & Teamwork:

- Provide leadership by interpreting regulatory requirements for identifying and measuring Model Risks across GPB&W.

- Implement global model governance and standards across mature and less advanced model risk sites and provide training as required.

- Works collaboratively with all major Stakeholders, Global Product Heads and all outsource providers.

- Collaborates with colleagues within the immediate team and with all local teams.

- In working with the direct team, regularly provide feedback on new and better ways of working, sharing ideas and best practices with the team.

Qualifications:

- Undergraduate degree or equivalent, advanced Degree (Masters, PhD). Function specific certification or degree (CFA, FRM).

- Experience in Private Banking/Wealth modelling is advantageous and understanding their unique model risks when compared to other areas.

- Coding and modelling languages such as SAS, Python, Matlab, "R", Visual Basics.

- Sound knowledge in pricing and risk modelling of a wide variety of financial instruments from vanilla products to exotic derivatives, along with good knowledge of the key trading concepts (arbitrage, fair-value pricing, hedging, etc.)

- History of working within the 1LoD & 2LoD to manage model risk including experience of validations and the range of regulatory reporting on models such as annual attestations is advantageous.

- An understanding of investment, banking, credit and insurance products and services is an advantage.

- Strict deadline management with project management discipline.

- Effective presentation, interpersonal, negotiation, communication and analytical skills.

- Enjoys compiling best-in-class documents and publishing papers.

- Good understanding of portfolio management techniques including analytics.

- Wide knowledge of key regulations affecting Private Banking business is advantageous. Good understanding of portfolio management techniques including analytics.

What additional skills will be good to have?

- Coding and modelling languages such as SAS, Python, Matlab, "R", Visual Basics.

- Enjoys compiling best-in-class documents and publishing papers.

- Strong and proven leadership skills to develop and nurture stakeholder relationships.

- Excellent relationship management and diplomacy skills, ability to communicate, influence and negotiate effectively.

- Ability to think and plan as part of a Global team working across different time zones and takes personal accountability.

- Skilled decision maker, able to stand firm and show necessary flexibility where required.

- Be highly organised with attention to detail.