Join us as a Risk Data Scientist
- In this key role, you’ll undertake the validation of derivative pricing models and ensure that models are managed within the requirements of the bank’s model risk policy and risk appetite
- You’ll ensure model limitations are identified, communicated to stakeholders and effectively mitigated
- We’ll look to you to help develop, maintain and implement proportionate mandatory procedures for model validation activity
- You’ll gain great exposure for you and your work, with the opportunity to develop key relationships with colleagues across Risk and NatWest Markets
What you'll do
As a Risk Data Scientist your main role will be the validation and review of models used within NatWest Markets to help ensure the bank’s models are managed within policy and appetite. By conducting thorough quantitative analysis, you’ll assess their performance and robustness.
You’ll prepare comprehensive validation reports and documentation, supporting the delivery of bank wide policy and mandatory procedures for the governance and control of model risk, through effective tracking and proactive escalation of issues and compliance with the operational risk framework.
You’ll also be:
- Managing a small team of validators providing oversight to their validation activity and support their development
- Working with the team to design and roll-out a bank-wide risk appetite approved by the bank’s executive and cascaded to businesses, functions and legal entities
- Assisting all areas in having appropriate governance and minimum standards in place to enable each area to report and manage their model risk and remain within their executive’s risk appetite
- Working to effectively and proactively support model risk with the management and remediation of its internal and external audit issues
The skills you'll need
We’re looking for significant experience of model validation or development of xVA models and front office pricing models e.g. currencies, rates. You’ll need a strong understanding of the financial industry and regulatory requirements.
You’ll have project management experience with a demonstrated ability to establish a clear direction and set and track objectives. Crucial to your success in this role will be problem solving, analytical skills, develop effective relationships and your ability to communicate with and influence senior management.
You’ll also have:
- Extensive model development or validation experience in a markets business
- An advanced degree such as a Master's or PhD in Quantitative Finance, Mathematics, Statistics, or a related field
- The ability to code in Python or a proven record of coding in other languages
- Knowledge of key model risk regulation such as SS1/23
- Financial acumen and the ability to understand model risk in the context of derivative pricing models
- Experience writing and proof-reading papers of sufficient quality to be submitted to senior management regulators and auditors
- The ability to work closely with senior team members to deliver outcomes consistent with industry leading practices
Hours
35
Job Posting Closing Date:
24/04/2025
Ways of Working:Remote First
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What We Do
We’re a business that understands when our customers and people succeed, our communities succeed, and our economy thrives. As part of our purpose, we’re looking at how we can drive change for our communities in enterprise, learning and climate.
As one of the leading supporters of UK business, we’re prioritising enterprise as a force of change. We’re focusing on the people and communities who have traditionally faced the highest barriers to entry and figuring out ways to remove these.
Learning is also key to our continued growth as a company in an ever changing and increasingly digital world. By setting a dynamic and leading learning culture, our people prosper, and our customers are given the tools to continue to improve their financial capability and confidence.
One of the biggest challenges we all face in our future is climate change. That’s why we’ve put it right at the core of our purpose. We want to champion climate solutions with financing and entrepreneurial support, fully embed climate into our culture and decision making, and be climate positive by 2025.
We’re committed to using our purpose to break down barriers, drive change and ultimately create a great place to work.
