Model Validation - Credit & Stress Testing - Vice President (mf/d)
Frankfurt, HE, DE, 60311
SMBC: A trusted partner for the long term
Here at SMBC Group, we want to help you find the next step in your career so read on to discover if this opportunity is the one for you. We like to recognise potential in our people, so we welcome your application even when your experience doesn’t perfectly align with the job description. Whilst we’ll always strive to be better, we’re proud of our inclusive culture, and encourage our applicants and colleagues to be their authentic, unique selves.
Who we are
United by a sense of purpose towards our customers – to be a trusted partner for the long-term – and our universal banking platform in EMEA, SMBC Group has an international growth agenda and award-winning products, meaning we provide exciting opportunities to work on a diverse range of projects and initiatives.
We deliver a full suite of corporate finance products and solutions to our customers as well as investment banking and advisory services, and a range of innovative solutions in global capital markets.
Read on to find out how you could enhance your skills and gain valuable experience, by joining us to support our clients transition to a sustainable future.
Role Summary
Is the next step in your career at SMBC Group EMEA?
We’re looking for a VP | RMD (m/f/d) - Model Validation - Credit & Stress Testing Vice President for our Model Risk Management Team.
The role will operate as part of the EMEA Model Validation Team, based in Frankfurt, and will work in close coordination with Group Model Validation team in AD, the MRM EMEA team and Model Owners and other relevant stakeholders.
The role will support delivery of a risk-based EMEA model validation plan for credit risk, IFRS 9/ECL, capital and stress testing models, and ensure appropriate use of Group validation capabilities where relevant.
The anticipated annual salary range for this role is 76,000 – 114,000 €, with the final offer determined based on the candidate’s skills, experience, role scope, location, and relevant market factors. In addition to base salary, the role may be eligible for a discretionary incentive award and a competitive benefits package, including core benefits such as pension provision.
Business Area
The Model Validation Team provides independent assurance that models used across the Bank are fit for purpose, appropriately implemented, and compliant with internal policies and regulatory expectations.
The team performs independent validation and effective challenge of models throughout their lifecycle to ensure model risks are appropriately identified, assessed, and managed.
Position Description
The jobholder’s primary tasks are as follows
- Lead and oversee the validation of credit risk and stress testing models, including credit rating models, PD/LGD/EAD models, IFRS 9/ECL, loss reserve models, credit portfolio models, capital, ICAAP and stress testing models and related forecasting/scenario models across EMEA. This also includes the execution of selected validations and review/adoption of Group validation outputs where appropriate. Ensure high-quality and consistent delivery, effective oversight of remediation actions, and clear reporting to relevant EMEA governance forums, audit and regulators.
- Be accountable for the quality, independence and clarity of validation opinions, findings and recommendations, ensuring timely escalation, effective tracking and clear communication to senior stakeholders.
- Oversee the validation findings lifecycle, including issue severity assessment, remediation tracking, closure review, overdue action escalation and reporting to relevant governance forums.
- Support the build-out of the EMEA Model Validation Team, including recruitment, onboarding, coaching, work allocation, quality review, procedure development and establishment of repeatable validation standards. Communicate key findings, risks, and recommendations arising from credit risk and stress testing model validations to senior management and stakeholders in a clear and actionable manner.
- In order to support the build-out of the EMEA Model Validation Team, ensure strong functional alignment with EMEA Model Risk Management Team and Model Validation Americas Division Team.
- Support the Model Risk Team in conducting relevant model risk governance for EMEA models.
Knowledge, Skills, Experience & Qualifications
- Master’s degree or PhD in a quantitative discipline such as Finance, Economics, Mathematics, Statistics, Engineering, Computer Science or a related field. Typically, 5+ years of relevant experience in model validation, model development, credit risk modelling, stress testing, IFRS 9/ECL, capital modelling, risk analytics or quantitative risk management, including experience leading complex validation assignments.
- Strong hands-on experience in model validation, model development, credit risk modelling, stress testing, capital modelling or quantitative risk analytics, including working with large and complex data sets.
- In-depth knowledge of credit risk and stress testing model types, including credit rating models, PD/LGD/EAD models, IFRS 9/ECL models, loss reserve models, credit portfolio models, ICAAP capital models, stress testing models and related forecasting/scenario models.
- Strong knowledge of applicable model risk, credit risk and stress testing regulatory expectations, including IFRS 9/ECL, ICAAP, EBA and ECB stress testing expectations, CRR/CRD, relevant EBA guidelines, MaRisk, ECB/BaFin/Bundesbank expectations and, where relevant, PRA SS1/23 or equivalent international model risk management standards.
- Strong quantitative and analytical skills, including experience with benchmarking, sensitivity analysis, back-testing, outcome analysis, performance monitoring, segmentation analysis, calibration assessment and data quality review.
- Programming and data analysis skills in Python, R, SQL, SAS or similar languages/tools would be beneficial.
- Strong written and verbal communication skills, with the ability to present complex model risk, credit risk and stress testing issues clearly and concisely to technical and non-technical stakeholders.
- Leadership experience, including coaching, mentoring, quality review and supporting the development of junior team members.
Competencies
What we offer
For all the expertise and experience you bring to help us make a difference, it’s only sustainable if we support you to build your career and be your best self so we offer competitive company benefits, centred around promoting positive well-bring and work-life balance. We also believe in fostering a diverse and inclusive work environment, where all team members perspectives and contributions are valued. Initiatives in place which promote a diverse and inclusive culture and healthy work life balance include hybrid working, Sport & Social Clubs and Diversity and Inclusion networks.
As an employee of SMBC you have access to a host of both useful and exciting benefit offerings. See below some of the benefits on offer to you:
- Hybrid and flexible working
- Competitive paid leave days
- Benefits to support your physical wellbeing, including private medical insurance
- Various policies to support your mental wellbeing, including a robust behavioural health network with counselling and coaching services
- Access a wide range of learning and development opportunities and career progression opportunities
- Ambitious remuneration package
So, if you like a challenge and want to continuously grow and develop in a role where you will be supported along the way by a dynamic and diverse team, apply today!!
We recognise our role as a bank to support social change and welcome all applications, including those from groups often under-represented in financial services. We value the uniqueness of professional and personal, backgrounds and perspectives as they play a vital role in continuing the sustainable growth of our organisation. We’ll ensure reasonable adjustments to our recruitment process are offered due to a disability or long-term condition whenever requested.
We are committed to transparent and equitable pay practices. Compensation is determined using objective criteria, including skills, experience, and role responsibilities, and applied consistently throughout our recruitment processes. We do not request candidates' pay history and are committed to preventing unjustified pay disparities.