Risk Data Scientist

Join us as aRisk DataScientist

• In thiskey role, you’ll undertake the validation of derivative pricingmodels and ensure that models are managed within the requirementsof the bank’s model risk policy and riskappetite
• You’ll ensure model limitations areidentified, communicated to stakeholders and effectivelymitigated
• We’ll look to you to help develop,maintain and implement proportionate mandatory procedures for modelvalidation activity
• You’ll gain great exposurefor you and your work, with the opportunity to develop keyrelationships with colleagues across Risk and NatWestMarkets

Whatyou'lldo

As aRisk Data Scientist your main role will be the validation andreview of models used within NatWest Markets to help ensure thebank’s models are managed within policy and appetite. By conductingthorough quantitative analysis, you’ll assess their performance androbustness.

You’ll preparecomprehensive validation reports and documentation, supporting thedelivery of bank wide policy and mandatory procedures for thegovernance and control of model risk, through effective trackingand proactive escalation of issues and compliance with theoperational riskframework.

You’ll alsobe:

• Managing asmall team of validators providing oversight to their validationactivity and support their development
• Workingwith the team to design and roll-out a bank-wide risk appetiteapproved by the bank’s executive and cascaded to businesses,functions and legal entities
• Assisting allareas in having appropriate governance and minimum standards inplace to enable each area to report and manage their model risk andremain within their executive’s riskappetite
• Working to effectively and proactivelysupport model risk with the management and remediation of itsinternal and external auditissues

Theskills you'llneed

We’relooking for significant experience of model validation ordevelopment of xVA models and front office pricing models e.g.currencies, rates. You’ll need a strong understanding of thefinancial industry and regulatoryrequirements.

You’ll haveproject management experience with a demonstrated ability toestablish a clear direction and set and track objectives. Crucialto your success in this role will be problem solving, analyticalskills, develop effective relationships and your ability tocommunicate with and influence seniormanagement.

You’ll alsohave:

• Extensivemodel development or validation experience in a marketsbusiness
• An advanced degree such as a Master'sor PhD in Quantitative Finance, Mathematics, Statistics, or arelated field
• The ability to code in Python ora proven record of coding in otherlanguages
• Knowledge of key model riskregulation such as SS1/23
• Financial acumen andthe ability to understand model risk in the context of derivativepricing models
• Experience writing andproof-reading papers of sufficient quality to be submitted tosenior management regulators and auditors
• Theability to work closely with senior team members to deliveroutcomes consistent with industry leadingpractices