Model Risk Management & Control (Team Lead)
Job Reference #
Are you an experienced risk management professional with experience in model development and/or validation? Have you built or managed teams of quants? Are you familiar with model risk management regulatory requirements and practices, specifically for the US?
We are looking for a strong team lead to:
• Recruit, build and lead a strong team of 15 quant validation specialists (with plans to expand thereafter).
• Operationalize the team, e.g. locating desk space, setting up protocols for the team, instituting process for seamless communication between on-shore and near-shore teams.
• Be a role model and mentor for the team.
• Implement the right set of controls to ensure the team is compliant with UBS's policies, control framework and best practices and provide appropriate level of supervision.
• Provide oversight and additional guidance on the actual quality of the model validation given the less than day overlap time between US and Poland and compliance with US regulatory and internal standards, in collaboration with MRMC US Validation Team Heads who will provide technical guidance
• As a member of the MRMC US management team, coordinate with peers to manage book of work to ensure resource capacity and coverage to meet stringent deadlines
• In partnership with the Validation Team Heads, drive a culture of team personal development and opportunities to ensure a highly engaged and motivated team
You will be a member of the MRMC US team. MRMC US is responsible for independent validation and model governance for models used by the divisions and businesses in the combined US operations (CUSO). Currently MRMC US is comprised of ~20 quant model validators and 4 model governance officers, all located in US. The model validators are grouped into 5 sub-teams, each headed by a MRMC US Validation Team Head (VTH).
The Head of MRMC US for Krakow (MRMC team lead) will have a solid reporting line to the Head of MRMC US. The MRMC team lead will build a 15-person team of quant model validators. The team is likely to grow with time.
Scope of the Krakow MRMC US team:
• Model validation: The team will be divided into model category groups, i.e. Credit Risk, PPNR, Market Risk, Ops Risk and Treasury Models. For the sake of clarity pricing models / valuations models and algorithmic trading models are out of scope.
• Each team member will be required to perform full model validations in accordance with UBS's model governance policies. He / she must have strong quantitative skills with in depth experience in at least two of the following languages: R, SAS, MatLab and Python.
• Review of Model monitoring and confirmations: Every model goes through periodic model performance monitoring by the model owner / developer which is then reviewed / confirmed by MRMC annually. Each team member will be required to perform the model performance monitoring confirmation.
• Review of Remediation of Issues: The team will be responsible to review the remediation work done by the model development teams to ensure that the issues raised by MRMC are remediated.
• Review of Implementation of the models: The model validation and performance confirmation will include the independent review and challenge of the implementation of the models.
• Conceptual Soundness: In case a CCAR / Stress Testing / Capital Planning model cannot be fully validated due to other prioritization, a Conceptual Soundness review is required which the quant model validators will be required to perform.
• Significant experience with building and leading teams (preferably in a near-shore location).
• Good understanding of model related regulations (e.g. Basel, SR 15-18, SR 11-7) and industry best practices.
• Experience in a consulting firm or a regulator is preferred. Strong knowledge in Capital Planning, FRTB, CECL, Liquidity Risk and Recovery / Resolution Planning is sought for.
• Communication skills and leadership abilities to lead senior level meetings such as the Model Governance Board.
• Strong leadership, communication and presentation skills together with the ability to draw consensus among large number of stakeholders.
• Good at program management and delivering to a plan
• Experience in related risk management or model development roles
• Fluent English language skills (written and speaking)
Expert advice. Wealth management. Investment banking. Asset management. Retail banking in Switzerland. And all the support functions. That's what we do. And we do it for private and institutional clients as well as corporations around the world.
We are about 60,000 employees in all major financial centers, in more than 50 countries. Do you want to be one of us?
We're a truly global, collaborative and friendly group of people. Having a diverse, inclusive and respectful workplace is important to us. And we support your career development, internal mobility and work-life balance. If this sounds interesting, apply now.
UBS Recruiting Poland
Disclaimer / Policy Statements
UBS is an Equal Opportunity Employer. We respect and seek to empower each individual and support the diverse cultures, perspectives, skills and experiences within our workforce.