Job Title

Join us as a Model Risk ManagerIn this key role, youll undertake the validation of derivative pricing models and ensure that models are managed within the requirements of the banks model risk policy and risk appetiteYoull ensure model limitations are identified, communicated to stakeholders and effectively mitigatedWell look to you to help develop, maintain and implement proportionate mandatory procedures for model validation activityYoull gain great exposure for you and your work, with the opportunity to develop key relationships with colleagues across Risk and NatWest MarketsWhat you'll doAs a Model Risk Manager your main role will be the validation and review of models used within NatWest Markets to help ensure the banks models are managed within policy and appetite. By conducting thorough quantitative analysis, youll assess their performance and robustness.Youll prepare comprehensive validation reports and documentation, supporting the delivery of bank wide policy and mandatory procedures for the governance and control of model risk, through effective tracking and proactive escalation of issues and compliance with the operational risk framework.Youll also be:Managing a small team of validators providing oversight to their validation activity and support their developmentWorking with the team to design and roll-out a bank-wide risk appetite approved by the banks executive and cascaded to businesses, functions and legal entitiesAssisting all areas in having appropriate governance and minimum standards in place to enable each area to report and manage their model risk and remain within their executives risk appetiteWorking to effectively and proactively support model risk with the management and remediation of its internal and external audit issuesThe skills you'll needWere looking for significant experience of model validation or development of xVA models and front office pricing models e.g. currencies, rates. Youll need a strong understanding of the financial industry and regulatory requirements.Youll have project management experience with a demonstrated ability to establish a clear direction and set and track objectives. Crucial to your success in this role will be problem solving, analytical skills, develop effective relationships and your ability to communicate with and influence senior management.Youll also have:Extensive model development or validation experience in a markets businessAn advanced degree such as a Master's or PhD in Quantitative Finance, Mathematics, Statistics, or a related fieldThe ability to code in Python or a proven record of coding in other languagesKnowledge of key model risk regulation such as SS1/23Financial acumen and the ability to understand model risk in the context of derivative pricing modelsExperience writing and proof-reading papers of sufficient quality to be submitted to senior management regulators and auditorsThe ability to work closely with senior team members to deliver outcomes consistent with industry leading practices