Director Risk Modelling, Validation, and Stress Testing

Director – Risk Modelling, Validation, and Stress Testing manages a team of quantitative risk analytics professionals. The job holder directs measurement, monitoring, modelling, and management of the Bank’s market and liquidity risk, assessment of economic capital, development of risk analysis, develops and maintains the ECL model, including engagement with the external auditors on the approach/methodology, compliance with IFRS 9, and stress-testing to support key business decisions.

Individual will provide oversight of the risk system architecture, limit compliance and development, maintenance and validation of market risk, credit risk, and economic capital model infrastructure via line management of a distinct model validation team.

This is a 4 year term appointment.

• Provides leadership and vision to the team and is responsible for all aspects of managing, supporting and developing the team to deliver the team strategy and objectives.
• Monitors and ensures the team provides timely and effective support and advice, proactively manages the pipeline of activity.
• With management colleagues, contributes effectively and leads the process for shaping the Bank’s Risk Appetite and Risk Management Strategy and engage in wider Bank initiatives, representing the Risk Department. Educate and align individuals in the team with the Bank’s work, decisions and objectives.
• Provides effective leadership in the development of best practice risk standards and guidance. Promotes a partnership approach to ensure effective co-operation and working relationships between Risk Management and other departments in the Bank. Maintain external network to ensure understanding of market practice.
• Provides oversight and strategic direction to the development of the Bank’s economic capital modelling, stress testing, credit modelling, as well as market risk and liquidity risk model-based assessment. This includes the ECL model and engagement with the External Auditors to ensure their agreement as to the adequacy of IFRS 9 general provisions.
• Provides oversight of quality, consistency, and governance of risk models and data. Lead a model validation team to ensure professional good practice standards of model risk management within the context of EBRD activities.
• Develops, coordinates and delivers risk management information and intelligence about developments and prospective risks and exposures in the portfolio and deliver these in a timely manner to Senior Management, Board, rating agencies and auditors as required.
• Provides adequate challenge to Treasury strategy and risk taking. Participate in the Asset Liability Committee as Committee member. Oversee regular risk compliance checks for Banking and Treasury portfolios and authorise excesses of Treasury portfolio concentration limits as appropriate.
• Directs and holds responsibility for the risk system architecture and reporting of risk data from the IT systems and Risk Management System (RMS), the testing and validation of Treasury Front Office and Risk valuation models and the development of risk measurement methodologies.
• Coordinate assessment of risks related to new Banking products, determine adequate approach and policies, and coordinate approval process.
• Directly accountable for the engagement and effective overall management of departmental staff including recruitment, compensation, performance management, coaching and development.
• Champions and role models the Bank’s Behavioural Competencies and Workplace Behaviours, ensuring adherence within the team(s) so that the highest standards of integrity and ethical conduct are exhibited at all times.

• Understanding of the type of activities the EBRD engages in (in terms of clients, products, funding and processes).
• Familiarity with data governance and portfolio analytics.
• Extensive exposure to derivatives, obtained first-hand in either trading, sales, or risk management.
• Demonstrated track record of strong people management experience, including in workforce and resource planning.
• Extensive engagement in the finance industry with optimally a combination of model…