HRO Recruitment is a specialist traditional recruitment business. HRO Recruitment is a brand of HRO Personnel Sp. z o. o. HRO Personnel is a Human Resources service provider operating under numer 6696. We are working as a recruitment provider searching on our Client's behalf for a person in the following role:
Senior Model Validation Manager, AVP
Location: Krakow
The Senior Model Validation Manager will report to the head of model validation at the bank’s US headquarter and to local head of the Enterprise Risk Management Centre of Excellence in Poland. The person will be responsible of leading the Poland team to support the US validation team to conduct model validation activities within existing ERM department . The Poland team will cover the models used at the bank to make business and operating decisions—most notably regulatory and economic capital models, as well as insuring the implementation of Model Risk Governance Program guidelines and requirements. These models are in areas including wholesale credit risk (e.g., probability of default, loss given default, exposure measurement, and loan loss reserving); market risk (e.g., daily value at risk pricing models, counterparty credit risk, Asset Liability Management risk, and terms structure models); and operational risk.
Key Accountabilities:
• Build a team in Poland with approximately 10 - 20 members in 2016/2017 under the supervision of the head of model validation, and support the US validation team to conduct model validation activities
• Lead the Poland team to ensure model risks are correctly identified, assessed, and captured:
• Assessing model theory and model assumptions as well as considering model methods and potential options.
• Testing and confirming model results by using documented procedures for running the model(s).
• Reviewing code documentation for proper model implementation, including the possible simulation of results.
• Working with data validation members and information technology professionals to determine model data integrity.
• Performing model validation processes and performing independent model validation of significant models.
• Assessing the stability and robustness of models by conducting backtesting, sensitivity testing, and stress testing.
• Making recommendations and suggesting improvements related to the applicability of the different models assessed in meeting their objectives.
• Ensure compliance with the regulatory (SR11-7) and client’s quality requirements for model risk.
• Deliver the validation findings via management presentations and regular reports.
• Communicate with onsite validators, model developers and business to relay the issues and feedback and capture the action plans.
• Ensure quality checks and controls including standardization of assessments and dissemination of feedback across team members.
Requirements:
• Experience in independent model validation of risk/financial models in banking industry.
• PhD in related disciplines or Master degree with extensive business knowledge and strong technical skills (e.g. Statistics, Econometrics, Mathematics, Computer Science or Engineering).
• Proven experience in team management.
• Minimum 8 years of experience in model development or independent model validation in risk management or risk management experience in banking/finance industry.
• Strong knowledge of financial markets and products.
• Strong communication skills (verbal and written in English).
• Ability to communicate project plans/status in a clear, precise and timely manner.
• Ability to execute on competing priorities in a timely manner.
Please add the following clause to the end of your submitted CV: “I hereby consent for HRO Recruitment, a brand of HRO Personnel Sp. z o.o. with their head office in Warsaw at Puławska 182, to use my personal details hereby submitted for their recruitment process (documenting and processing personal information and forwarding said information to their clients within the structure of the client’s recruitment projects) in accordance with the Law on Protection of Personal Data (Dz. U. 2002 r. Nr 101 poz. 926) until I submit a written withdrawal of consent. I confirm that I was informed of the right to modify, access and protect my personal information.”
