Senior Manager - Model Risk Management & Analytics Consultant

Job description

Background 

KPMG’s Regulatory & Risk Advisory (R&RA) practice sits within Financial Services Consulting. The R&RA practice continues to show tremendous growth and is seeking a highly motivated model risk management expert to support R&RA on this journey. 

Role and Responsibilities 

As a Senior Manager in Model Risk Management, you will be responsible for the management and delivery of large model risk engagements, managing a team and coaching more junior team members. As part of supporting clients, you will be required to have a strong understanding of the model lifecycle, with demonstrable experience around model development/validation as well as model governance and frameworks.  

With SS1/23 now in full swing, our clients are focussed on enhancing their Model Risk Management frameworks and processes. We’re therefore looking for candidates with a deep understanding of the SS1/23 principles as well as experience assessing and/ or implementing this regulation.

Given this area is evolving at a significant pace, candidates will be required to demonstrate proven innovative methods in this space which had resulted in both efficiency and effectiveness gains. 

Successful candidates will also have the opportunity to support our Partners and Directors with client relationship development, proposition development, and internal business development activities. 

The role will require candidates to work with a range of senior stakeholders across various functions including the Business, Model Development, Model Validation, Model Risk Management, Product Control and Technology, amongst others. 

Candidates will also be required to apply their skills to a broad range of banking risk related issues supporting both regional and national propositions, including leading and driving client workshops and presenting at industry seminars on Model Risk Management. 

Qualifications & Skills: 

Detailed working knowledge and demonstrable experience of aspects related to the development of risk frameworks and model governance including (but not limited to) the following: 

• Strong understanding of SS1/23 principles and the key challenges for our clients
• Strong understanding of other relevant regulatory reforms impacting financial institutions, e.g. FRTB, DP5/22, etc
• Risk management principles embedded in key policies and standards 
• Model risk appetite statements 
• Model risk measurement and management 
• Governing bodies and committees 
• Regulatory oversight/reporting including local/regional distinctions 
• Technological implications and solutions for MRM  
• Model validation practices, documentation, and standards 
• Proficiency in quantitative financial modelling and data analytics
• Proficiency in Python (preferred), R and or SAS
• Deep regulatory knowledge applicable to models are mandatory (e.g. IRB, CCAR, FRTB, Basel, PRA, ECB, etc.)
• Ability to communicate with and challenge senior management (Front Office, Risk, Product Control and Technology) on a range of risk governance topics 
• Proven ability to work within a team environment and experience managing/developing junior colleagues
• Excellent communication skills (oral and written), planning, project management, networking and influencing skills

Experience and Background: 

• Model Risk Management experience developing model risk frameworks, governance and policies, evidenced by demonstrable improvements
• Demonstrable experience delivering major model risk programmes, including SS1/23 enhancement and remediation, across the model lifecycle
• Possess experience in model development and/or model validation
• Strong project management skills
• Deep understanding of relevant technology developments and solutions for model risk
• Experience in AI Model Governance

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