Associate Director - Banking Book Model Risk Management

Seeking a highly experienced professional with exposure to development/ validation, and oversight of banking book models. The successful candidate will play a key role in managing model risk across the banking book, including market, interest rate risk (IRRBB), credit, and climate-related financial risk, ensuring alignment with regulatory requirements and internal risk frameworks. This role requires deep technical expertise in risk modelling, strong knowledge of banking regulations, and the ability to effectively communicate complex concepts to senior stakeholders.

• Lead the design, development, and validation of banking book risk models, including credit, climate, market, and interest rate risk models (IRRBB).
• Ensure compliance with regulatory standards such as Basel III/IV, IRRBB, and other applicable local regulatory frameworks.
• Collaborate with cross-functional teams (Risk, Finance, Treasury) to integrate models into the broader risk management framework.
• Perform regular model performance monitoring, backtesting, benchmarking, and sensitivity analyses.
• Knowledge of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) models for retail and wholesale portfolios.
• Provide model risk reporting to senior management and the risk committee, ensuring transparency and clarity on model performance and risk exposures.
• Knowledge of integrating climate risk into banking book models, assessing its impact on credit and market risk. Sufficient understanding of climate stress-testing models in alignment with emerging regulatory guidelines (e.g., ECB s Guide on Climate-Related and Environmental Risks, PRA SS3/19).
• Oversee model governance, ensuring all models meet internal model risk management standards and adhere to the three lines of defense model.
• Engage with regulatory bodies during model audits and validations, addressing any feedback or findings.
• Drive initiatives to automate and streamline the model development and validation process through the use of advanced analytics and technology tools.

• Minimum of 10-15 years of experience in banking book modelling, validation, and risk management.
• Strong expertise in IRRBB, market and credit risk models.
• Knowledge of climate risk and its application within the banking book risk management framework.
• Deep understanding of Basel III/IV, IRRBB guidelines, and other relevant regulatory requirements.
• Proficiency in programming languages (e.g., Python, R, SAS) and advanced analytics techniques.
• Strong stakeholder management skills, with the ability to communicate complex technical concepts to non-technical audiences.
• Experience with model risk governance and regulatory engagement.

• Masters degree or PhD in Finance, Economics, Mathematics, or related fields.