Manager - Model Risk Management

  • Competitive
  • London, England, United Kingdom
  • Permanent, Full time
  • KPMG
  • 11 Mar 19

As a member of the banking segment, the Manager is required to apply his/her skills to a broad range of banking related issues supporting both UK and Global propositions. In particular, the Manager will participate proactively in model risk and, if required, wider risk and capital related engagements.

Overview of roles and responsibilities:

Over the last few years, Model Risk Management (MRM) has gained increasing regulatory focus across the globe. Banks are expected to adhere to more stringent guidelines and ensure they have a robust framework in place to capture all sources of model risk and implement mitigating measures.
The KPMG MRM team advises and assists a range of clients from large international banks to smaller financial institutions in developing and enhancing their MRM framework. The Manager will be involved in both technical MRM engagements covering a range of model types (e.g. pricing, valuation and risk models) and qualitative model risk governance aspects. The Manager will support the MRM Lead in driving the KPMG MRM proposition including managing a team of junior resources as well as assisting in defining solutions for the key emerging MRM themes in the industry, including implications of automation, increasing efficiency of the MRM framework for our clients and adhering to regulatory standards.

As a member of the banking segment, the Manager is required to apply his/her skills to a broad range of banking related issues supporting both UK and Global propositions. In particular, the Manager will participate proactively in model risk and, if required, wider risk and capital related engagements.
 
Qualifications & Skills:

·    Thorough knowledge of the model risk management framework including best practice for the various components and a good understanding of the end-to-end model risk lifecycle.
·    Strong understanding of credit risk, counterparty credit risk and market risk internal models and associated regulatory guidelines.
·    Blend of quantitative skills and risk governance knowledge is essential.
·    Ability to distil highly technical content into a simple and clear manner for a non-technical third party and senior management is crucial.
·    Ability to write highly technical documentation to a standard that adheres to the latest regulatory standards including, but not limited to, SR11’7, PRA SS3’18 and ECB guide for internal models requirements.
·    Excellent project management skills including ability to support the initiation, delivery and risk management aspects of large engagements and overseeing junior resources.
·    Excellent oral / written communication, networking and influencing skills.
·    Flexibility to contribute on a broad range of banking risk engagements as well as external marketing material.
·    Highly proactive and able to drive the model risk proposition forward under the guidance of the MRM lead, including setting clear objectives for the team and ensuring completion of targets.