Model Validation Data Scientist

Business Unit: Group Risk, Model Risk Oversight
Salary range: £36,800 - £46,000 depending on experience.

Our Risk department provide us with a fool proof framework to make decisions that we know will keep our customers’ and investors’ money safe. They are always safeguarding our bank from an array of risks that could pop up at any moment.

Here’s what it means for YOU:

• 38.5 days annual leave for all colleagues (including bank holidays and pro rata if part-time)
• Up to five extra paid well-being days per year
• A 35-hour working week
• 20 weeks paid, gender neutral family leave (52 weeks in total) for expectant parents and those looking to adopt
• Market leading Pension & Private Medical Insurance
• Flexible benefits including Cycle to Work, Wellness & Health Assessments and Critical Illness
• Ability to work anywhere in the UK (where the role allows)

And you get these Red-Hot Rewards from day one!

You’ll join the Model Risk Oversight team at an exciting time. With increasing impact from digital approaches on our models, as well as increasing expectations of our Board and the Regulators we are expanding! As part of the Model Risk Oversight team, you’ll help to secure the foundations of our business decisions by providing quantitative and qualitative validation across our model landscape.

We’re seeking bright individuals who have some experience in modelling and analytics. Your experience can be in a range of contexts such as Pharmaceuticals, Academia, Banking, Data Science etc. Importantly, you should be goal focused and have an ability to think critically about modelling and statistics.

There is an emphasis on IFRS 9/Stress Testing/ Climate Risk/ models but also opportunity to be involved with IRB, Pricing, Op Risk or other models

You’ll work with and learn from our multidisciplinary team of experts. As well as regular feedback, training is provided to help you make the most of your career and develop you as an individual. We ask that you bring a desire to develop, research and collaborate, as well a record of producing high quality work.

Day to day you’ll …

• Support the validation of new and revised models to ensure models across the business are fit for purpose
• Provide assurance on compliance with the regulatory requirements we work within
• Engage with model owners, gathering materials for analysis, challenging model performance or development and documenting findings
• Utilise your technical skills in data manipulation and extraction, assessing and comparing data from a variety of sources
• Generate model validation reports and ensure that validation actions are followed through to a resolution
• Support the continuous learning and development of a best practice modelling culture within the bank
• Offer insight and recommendations that contribute to achieving best in class risk models

There are a few essentials you need to bring…

• Significant experience in developing or validating statistical models
• Highly analytical with a numerate degree or equivalent technical experience
• Experience in the use of statistical software to analyse and interpret data (e.g., R, SAS, Python, Machine Learning)
• Superb data presentation and report writing skills, ideally for a Model Risk Committee or equivalent
• Ability to work to a high degree of accuracy, ensuring you always get the basics right

It’s a bonus if you have …. but not essential

• Good knowledge of SAS and/or Python
• Good knowledge of Credit Risk Modelling including PD, EAD and LGD models
• Good knowledge of IFRS 9 or Stress Testing models

We really need you to have the skills and experience listed in the ‘There are a few essentials you need to bring’ section above, but the rest is just our wish list, so please don’t let that put you off applying, we’d love to hear from you!

Inclusion at Virgin Money

Inclusion is at the heart of everything we do here at Virgin Money. It’s good for you, it’s good for us and it’s amazing for our customers. We know that great minds don’t think alike, so we rely on your diverse thoughts, feelings, beliefs and backgrounds to be the best we can possibly be. Got any questions about this or need some support with your application? We’d love to hear from you so get in touch with our careers team at careers@virginmoney.com.

Now the legal bit…

Living A Life More Virgin allows our colleagues to be based anywhere in the UK (if the role allows it) but we’ll need to you to confirm you have the Right to Work in the UK.

If you’re successful securing a role with us, there are some checks you need to complete before starting. This includes a credit and criminal record check, as well 3 years' worth of satisfactory references. If the role is part of the Senior Manager Regime and Certification Regime, it requires enhanced pre-employment checks - we’ll ask for 6 years' of regulatory references and once in role, you’ll be subject to periodic employment checks.

Feeling insatiably curious about this role? Apply as soon as you can. If we’re lucky to receive a lot of interest, we may close the advert early and would hate you to miss out.

We're all about helping you Live A Life More Virgin, so happy to talk flexible working with you.