Model Validation/Development Role - Anti Money Laundering - Banking Captive

About Model Risk Management

- Model Risk Management (MRM) is an independent function reporting to the CRO. It consists of two key areas: Independent Validation Unit (IVU) and Model Governance and Control (MGC). IVU is responsible for validating and approving models across all whilst MGC establish and manage the governance framework around models.

About Independent Validation Unit

- IVU is a second line defence function which approves or rejects models following a technical review thereby ensuring transparency and effective management of risk associated with any model in which relies upon for financial or non-financial decisions. The IVU Team has responsibility for the Independent Validation of various model types (e.g. Anti-Money Laundering (AML), Capital, Impairment, Liquidity, Stress Testing etc.). It provides assurances to the senior managers including the individual Business Chief Risk Officers and the Group CRO and Finance Director (through the Executive Models Committee) on the key aspects associated with risk models.

Overall purpose of role :

Successfully balance the following responsibilities:

1) The person filling the role is responsible for being model validator AML models

2) Provide independent review (IR) and challenge of different aspects of model (conceptual soundness, model performance etc.) across different AML model to a high degree of depth, as required by and detailed in the Bank's policies and standards. This role will be part of Group Risk IVU team.

3) Provide input to/support the governance and reporting processes related to model risk management.

Key Accountabilities :

1. Independent review and challenge

a. Work on independent review of AML/ Transaction Monitoring models

b. Perform technical analyses, data analyses, benchmarking, assumption justification, build challenger models (if needed) to support the validation review and challenge process

c. Predictive modelling experience

d. Must be able to challenge others and be open to challenge. Should seek direction on which issues are material but have own views on this also.

e. Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions

f. Self-study of developments in modelling and validation techniques;

g. Should have AML knowledge

h. Support team members in model validation and review their work

i. Should work independently with minimal guidance

2. Governance and Reporting

a. Review regulatory requirements (e.g. NYDFS) to ensure compliance with different external regulations.

b. Support the development and review conformance with appropriate policies including Group Model Risk policy.

Stakeholder Management and Leadership :

- Ensure open, transparent, proactive and timely interaction with major stakeholders (model owners/ developers) in alignment with Values and Behaviour principles

- Establish and maintain effective working relationship with the key stakeholders across businesses served

- Ensure that the Group Model Risk Policy, and supporting Standards are upheld

- Contribute to ensuring that the MRM team provides high quality input and guidance to modellers across the bank to achieve consistency of standards and compliance with internal and external requirements

Decision-making and Problem Solving

- Engage with model owner and developers to ensure all supporting material required for validation is received timely, in accordance with the validation schedule

- Role requires influencing skills and problem solving abilities to overcome issues inherently arising during the validation process

- Produce high quality IVU reports and presentations for relevant model governance committees

- Support the model management team in tracking actions and the accuracy of Group Model Database (GMD)

Risk and Control Objective :

Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards.

Person Specification ;

Essential Skills/Basic Qualifications:

- Strong analytical skills with experience in developing, validating and risk management of models

- Good communication and influencing skills, ability to produce high quality written communication for technical and non-technical audiences.

- Highly organised in terms of documentation and follow through.

- Advanced understanding of transaction monitoring/SAR filing

- An ability to identify and analyse appropriate external data sources for model development or validation.

- Experience in a modeller/validator role in the Anti Money Laundering area.

- Should have relevant experience in analytical industry. Hands-on experience in the use of statistical packages, such as SAS, R, Python. Expert user of Microsoft Excel and other Microsoft Office tools.

Desirable skills/Preferred Qualifications:

- Ability to work in a high performing team, and the ability to work and liaise with others in a diverse team

- Experience in Machine Learning models

Education : Masters in Statistics, Mathematics, Finance, Economics, Engineer, MBA