Head of Model Risk in Valuation Management & Control

Job ID: 17969 

We are looking for a dedicated Head of Model Risk to join the management team in Valuation Management & Control (VMC).

As the Head of Model Risk, you will have the opportunity to lead and empower a team of specialists in the area of model risk, work with your colleagues in the management team of VMC towards our common goals, proactively engage with stakeholders across the lines of defence in the area of model risk in ensuring the performance of pricing models and methods for quantifying model risk, as well as drive deliveries both internally and externally towards our regulators.

Your future responsibilities

As the Head of Model Risk, you will be part of the management team in Valuation Management & Control (VMC) in Market and Treasury Financial Control (MTFC). You will play a key role in VMC in driving the work of the model risk team, developing new methods for quantifying model risk and ensuring sufficient performance of Nordea’s pricing models. You will be working with stakeholders across Front Office and the 2LoD and ensure we meet regulatory expectations in the area of model risk.

Model Risk is responsible for the ongoing monitoring of valuation model performances, the assessment of model sufficiency when introducing new products and the calculation of model uncertainty measures under the prudent valuation framework.

What you’ll be doing:

• Be responsible for the development of model risk measures, including adjustments, for pricing models.
• Lead the continued development of the model risk monitoring framework for pricing models.
• Manage the daily production of model risk controls and monitoring, and the monthly production of model risk valuation adjustments.
• Facilitate the development of an IT solution focusing on the automation of deliveries.
• Proactively engage in the dialogue with stakeholders in both Front Office and 2LOD on model performance and timeliness of deliveries.
• Prioritise tasks in the team while ensuring the production, business support, sufficient governance and continued development of own solutions.
• Lead and develop a team where knowledge is the main commodity.

The team works with business developed solutions in Python, version controlled and shared using Git, hence, experience with coding and version controlling is an advantage. The team is based in both Copenhagen, Denmark, and Warsaw, Poland. The team comprises people of different nationalities and tasks are performed in a supportive atmosphere with a feeling of joint responsibility.

The role can be based in Copenhagen, Warsaw, Helsinki or Stockholm.

Who are you

Collaboration. Ownership. Passion. Courage. These are the values that guide us in being at our best – and that we imagine you share with us.  

To succeed in this role, we believe that you:

• Have professional background in quantitative finance and derivatives pricing models.
• Possess the ability and desire to share knowledge, and build competencies and stakeholders relations.
• Are an aspiring or confirmed People Leader who is energised by empowering their team members and becoming a trusted partner to our internal and external stakeholders.

Your background:

• You have a degree in Mathematics/Physics/Finance or equivalent quantitative background (Master's or PhD).
• At least 5 years of professional experience working with pricing models in e.g. model development or model validation or valuation methods.
• Experience managing model risk, including regulatory requirements such as prudent valuation.
• Solid coding skills, and preferably experience with Python.
• Have very good communication skills, including English as the main working language (both spoken and written).

If this sounds like you, we look forward to welcoming you to the team!

Next steps

Submit your application no later than 08/06/2023. For more information, you’re welcome to contact Sabine Schönangerer.

At Nordea, we know that an inclusive workplace is a sustainable workplace. We deeply believe that our diverse backgrounds, experiences, characteristics and traits make us better at serving customers and communities. So please come as you are.

Please be aware that any applications or CVs coming through email or direct messages will not be accepted or considered.

For candiadtes in Sweden only - For union information, please contact finansforbundet@nordea.se or SACONordea@nordea.com.
 

For candidates in Poland only - Please include permit for processing personal data in CV as following:

In accordance with art. 6 (1) a and b. Regulation (EU) 2016/679 of the European Parliament and of the Council of 27 April 2016 on the protection of natural persons with regard to the processing of personal data and on the free movement of such data, and repealing Directive 95/46/EC (General Data Protection Regulation) hereinafter ‘GDPR’. I agree to have: my personal data, education and employment history proceeded for the purposes of current and future recruitment processes in Nordea Bank Abp.

The administrator of your personal data is: Nordea Bank Abp operating in Poland through its Branch, address: Aleja Edwarda Rydza Śmiglego 20, 93-281 Łodź. Your personal data will be processed for the recruitment processes in Nordea Bank Abp. You have a right to access your personal data, right to rectify and right to delete. Disclosing the personal data in the scope specified by the provisions of Polish Labour Code from 26 June 1974 and executive acts are mandatory. Providing personal data is necessary to conduct the recruitment processes. The request for the deletion of your personal data means resignation from further participation in recruitment processes and causes the immediate removal of your application. Detailed information concerning processing of your personal data can be found at: https://www.nordea.com/en/doc/nordea-privacy-policy-for-applicants.pdf.

We reserve the right to reply only to selected applications.

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