Model Validation - Credit & Stress Testing - Assistant Vice President (m/f/d)

Job description

SMBC: A trusted partner for the long term Here at SMBC Group, we want to help you find the next step in your career so read on to discover if this opportunity is the one for you. We like to recognise potential in our people, so we welcome your application even when your experience doesn’t perfectly align with the job description. Whilst we’ll always strive to be better, we’re proud of our inclusive culture, and encourage our applicants and colleagues to be their authentic, unique selves. Who we are United by a sense of purpose towards our customers – to be a trusted partner for the long-term – and our universal banking platform in EMEA, SMBC Group has an international growth agenda and award-winning products, meaning we provide exciting opportunities to work on a diverse range of projects and initiatives. We deliver a full suite of corporate finance products and solutions to our customers as well as investment banking and advisory services, and a range of innovative solutions in global capital markets. Read on to find out how you could enhance your skills and gain valuable experience, by joining us to support our clients transition to a sustainable future. Role Summary Is the next step in your career at SMBC Group EMEA? We’re looking for an AVP | RMD (m/f/d) - Model Validation - Credit & Stress Testing Assistant Vice President for our Model Risk Management Team. The role will operate as part of the EMEA Model Validation Team, based in Frankfurt, and will work closely with Group Model Validation in AD, the MRM EMEA Team and Model Owners and other relevant stakeholders to support delivery of the risk-based EMEA model validation work. The role is execution-focused and supports independent validation activities, quantitative analysis, validation documentation, findings management and governance reporting for credit risk, IFRS 9/ECL, capital and stress testing models across EMEA. The anticipated annual salary range for this role is 64,000 – 96,000 €, with the final offer determined based on the candidate’s skills, experience, role scope, location, and relevant market factors. In addition to base salary, the role may be eligible for a discretionary incentive award and a competitive benefits package, including core benefits such as pension provision. Business Area The Model Validation Team provides independent assurance that models used across the Bank are fit for purpose, appropriately implemented, and compliant with internal policies and regulatory expectations. The team performs independent validation and effective challenge of models throughout their lifecycle to ensure model risks are appropriately identified, assessed, and managed. Position Description The jobholder’s primary tasks are as follows Conduct and support independent validations and reviews of credit risk and stress testing models across EMEA, including credit rating models, PD/LGD/EAD models, IFRS 9/ECL models, loss reserve models, credit portfolio models, ICAAP capital models, stress testing models and related forecasting/scenario models, under the oversight of senior validators. Apply robust model validation methodologies to assess model conceptual soundness, model assumptions, data quality, implementation accuracy, controls, calibration, segmentation, scenario design and ongoing model performance. Perform quantitative analysis, including benchmarking, sensitivity analysis, back-testing, outcome analysis, performance monitoring, segmentation analysis, calibration assessment and review of model outputs, where applicable. Prepare clear, well-structured validation documentation, including validation reports, workpapers, findings, model limitations and recommendations. Support tracking and resolution of validation findings, working with model owners, developers, Credit Risk, Finance, Stress Testing, Risk Analytics, MRM stakeholders and other validation teams. Communicate validation results, key risks and recommendations clearly to both technical and non-technical stakeholders. Support model governance activities, including model inventory review, usage monitoring, periodic review support and reporting to relevant governance forums. Contribute to enhancements of validation tools, templates, testing frameworks, automation and process efficiency. In order to support the build-out of the EMEA Model Validation Team, ensure strong functional alignment with EMEA Model Risk Management Team and Model Validation Americas Division Team. Knowledge, Skills, Experience & Qualifications Master’s degree or PhD in a quantitative discipline such as Finance, Economics, Mathematics, Statistics, Engineering, Computer Science or a related field. Typically, 2–5 years of relevant experience in model validation, model development, credit risk modelling, stress testing, IFRS 9/ECL, capital modelling, risk analytics or quantitative risk management. Good understanding of credit risk and stress testing model types, including credit rating models, PD/LGD/EAD models, IFRS 9/ECL models, loss reserve models, credit portfolio models, ICAAP capital models, stress testing models and related forecasting/scenario models, with willingness to develop broader expertise across the model validation portfolio. Familiarity with model validation techniques, including benchmarking, sensitivity analysis, back-testing, outcome analysis, performance monitoring, segmentation analysis, calibration assessment and data quality review. Good knowledge of applicable model risk, credit risk and stress testing regulatory expectations, including IFRS 9/ECL, ICAAP, EBA stress testing expectations, CRR/CRD, relevant PRA/ECB guidelines, MaRisk and BaFin/Bundesbank expectations; awareness of PRA SS1/23 or equivalent international model risk management standards would be beneficial. Strong analytical and problem-solving skills, with attention to detail and a commitment to accuracy. Programming and data analysis skills, particularly Python; knowledge of R, SQL, SAS or business intelligence tools would be beneficial. Strong written and verbal communication skills, with the ability to present complex model risk, credit risk and stress testing issues clearly and concisely to technical and non-technical stakeholders. Ability to build effective working relationships with stakeholders at all levels and work collaboratively in a team environment. Competencies Customer Focus Driving Change Driving Results Embraces Diversity Enterprise Leadership Judgement and Decision Making Risk Management Strategic and Visionary Trust and Integrity What we offer For all the expertise and experience you bring to help us make a difference, it’s only sustainable if we support you to build your career and be your best self so we offer competitive company benefits, centred around promoting positive well-bring and work-life balance. We also believe in fostering a diverse and inclusive work environment, where all team members perspectives and contributions are valued. Initiatives in place which promote a diverse and inclusive culture and healthy work life balance include hybrid working, Sport & Social Clubs and Diversity and Inclusion networks. As an employee of SMBC you have access to a host of both useful and exciting benefit offerings. See below some of the benefits on offer to you: Hybrid and flexible working Competitive paid leave days Benefits to support your physical wellbeing, including private medical insurance Various policies to support your mental wellbeing, including a robust behavioural health network with counselling and coaching services Access a wide range of learning and development opportunities and career progression opportunities Ambitious remuneration package So, if you like a challenge and want to continuously grow and develop in a role where you will be supported along the way by a dynamic and diverse team, apply today!! We recognise our role as a bank to support social change and welcome all applications, including those from groups often under-represented in financial services. We value the uniqueness of professional and personal, backgrounds and perspectives as they play a vital role in continuing the sustainable growth of our organisation. We’ll ensure reasonable adjustments to our recruitment process are offered due to a disability or long-term condition whenever requested. We are committed to transparent and equitable pay practices. Compensation is determined using objective criteria, including skills, experience, and role responsibilities, and applied consistently throughout our recruitment processes. We do not request candidates' pay history and are committed to preventing unjustified pay disparities.