Model Risk Manager

Role Purpose

The principal purpose of the Model Risk Manager role is to lead and steer a range of activities requiring quantitative expertise across the wider Risk department.

The role will primarily focus on:

• Validation of valuation models.
• Development and implementation of risk methodologies.
• Quantifying, measuring and monitoring risks inherent in the Clients' Trading and Origination portfolios.
• Providing quantitative risk expertise and support across other Risk teams.
• Improving the efficiency, robustness and governance of model risk practices.

Key ResponsibilitiesThe Model Risk Manager will be responsible for:Model Risk & Validation

• Design and implement risk methodologies, particularly for non-standard and structured transactions.
• Independently validate Front Office pricing and valuation models.
• Contribute to the development, governance and continuous improvement of model validation policies, processes and practices.
• Execute model validation activities in accordance with established policies and best practices.
• Support the development of robust model documentation and validation standards.

Quantitative Risk Modelling

• Develop and enhance quantitative risk methodologies across the Risk function.
• Model market data and commodity risk factors relevant to energy trading and origination activities.
• Support other Risk teams with quantitative risk models, methodologies and analytical approaches.
• Develop trading-standard risk methodologies for structured and long-dated transactions.
• Contribute to improving risk modelling capabilities across all Risk areas.

Programming & Process Improvement

• Maintain and evolve production-quality Python libraries used within the Risk function.
• Undertake small tactical programming activities that improve efficiency and ways of working.
• Identify opportunities to automate or streamline manual processes that cannot be outsourced to IT&C.
• Support the development of efficient, scalable and sustainable quantitative risk solutions.

Collaboration & Team Contribution

• Work collaboratively with Risk, Trading, Origination and other internal teams.
• Support effective collaboration with external stakeholders where required.
• Play a senior and leading role within the Model Risk team.
• Contribute to the development of the team's broader quantitative and model risk capabilities.
• Develop and maintain knowledge of the company's growing business and evolving risk requirements.

Department & Team Structure

• Report directly to the Head of Model Risk.
• Play a senior/leading role within a small team of quantitative risk analysts.
• Work collaboratively across the wider Risk department and with Trading and Origination teams.
• Provide quantitative expertise and guidance to other Risk functions where required.

Performance Indicators

Success in the role will be measured through:

• Development and implementation of trading-standard risk methodologies for structured and long-dated transactions.
• Improved risk modelling capabilities across all Risk areas.
• Successful execution and continuous improvement of the Model Validation process and policy.
• Improvements in the efficiency of manual processes that cannot be outsourced to IT&C.
• Successful collaboration across teams, both internally and externally.
• Effective contribution to the development and capability of the Model Risk team.
• Continued development of knowledge and understanding of the company's growing business, trading activities and risk profile.

Experience & Qualifications

The successful candidate should have:

• 5+ years of experience in quantitative risk management.
• Professional experience within the energy or financial services industry.
• A quantitative degree at Master's level or above.
• Specific experience in model validation, including:
• Model documentation.
• Execution of model validation processes.
• Development and/or implementation of model validation policies.
• Experience maintaining and evolving a production-quality Python library.
• Experience working within a Japanese company or Japanese subsidiary would be advantageous.

Knowledge & Technical Skills

The successful candidate should demonstrate:

Quantitative & Risk Modelling

• Significant knowledge of pricing and risk models relevant to the energy industry.
• Strong understanding of quantitative risk management methodologies.
• Good understanding of modelling approaches for energy and commodity risk factors.
• Knowledge of best practices relating to model validation and model governance.
• Knowledge of non-commodity industry costs within the energy supply industry.

Programming & Technology

• Strong knowledge and practical experience of Python.
• Programming experience in at least two of the following:
• Python
• SQL
• VBA
• Experience developing and maintaining production-quality quantitative libraries and analytical tools.

Core Competencies

The successful candidate will demonstrate:

• Strong quantitative and analytical capabilities.
• Independent thinking and sound judgement.
• Ability to challenge and critically assess existing models and methodologies.
• Strong problem-solving skills.
• Ability to work effectively with both technical and non-technical stakeholders.
• Strong communication and collaboration skills.
• Ability to operate effectively in a changing and growing business environment.
• A proactive approach to identifying opportunities for improving risk methodologies and processes.