Risk Manager (Model Risk)

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About Revolut

People deserve more from their money. More visibility, more control, more freedom. And since 2015, Revolut has been on a mission to deliver just that. With an arsenal of awesome products that span spending, saving, travel, transfers, investing, exchanging and more, our super app has helped over 20 million customers get more from their money. And we're not done yet.

As we continue our lightning-fast growth, we believe that two things are essential to continuing our success: our people and our culture. So far, we have more than 3000 people, based in 20 offices around the world, working on our mission. And we're looking for more. We want brilliant people that love building great products, love redefining success, and love turning the complexity of a chaotic world into the simplicity of a beautiful solution.

About The Role

Our Risk team sits at the very core of Revolut. Those special agents work across functions, products, and regions to monitor front-line performance and ensure that the business is on safe footing 🕶️ People in the Risk team are among the first in the company to get involved in new business initiatives, from App Technology, through Treasury and Finance, to Customer Support 💫

We’re looking for a Risk Manager to manage Revolut’s model risk 📣 A great data and analytics lover with strong emphasis on ML/AI applications to computer vision, AML/ATF, and fraud detection. Someone who’ll dare to challenge our modelling processes and take them to the next level 🏋🏼‍♂️

Up for jumping on board? Let’s get in touch 👇

What You’ll Be Doing

• Providing senior management and the Board Risk & Compliance Committee with periodic key insight on material models
• Keeping the incidence of adverse outcomes caused by the use of material models within our model risk appetite
• Embedding strong model risk management practices end-to-end across the model lifecycle
• Effectively challenging current modelling processes and methodologies
• Validating and assigning reliable model risk ratings to material models each quarter in line with published goals
• Increasing understanding of model assumptions, limitations, output, and overlays
   

What You'll Need

• Ability to work autonomously with the confidence to engage individuals at all levels
• Evidence of having validated and/or developed many of the following model types (exceptionally strong candidates typically evidence 8 or more types):
• Valuation & Pricing Models / Risk Models: Market Risk Models, Counterparty Credit Risk Models, Operational Risk Models, Liquidity Risk Models / Credit Risk Scoring Models / IFRS9/CECL/ALLL Models / Stress Testing Models (CCAR/DFAST, PRA, BoE ACS, EBA) / Finance & Treasury Models / Fincrime Models (BSA/ATA, Fraud, KYC) / Collaborative Filtering Models
• Natural Language Processing-based Models / Computer Vision Models / Insurance Models, Disaster Modelling / Weather Derivatives Modelling / Marketing & Growth Models / Conduct & Compliance Risk Models
• Evidence of competence in the following techniques (the more the better):
• Supervised Learning, Prediction (OLS, Nearest Neighbour), Statistical Decision Theory, Local Methods in High Dimensions, Structured Regression Models / Classification Methods, Discriminant Analysis, Logistic Regression, Support Vector Machines, Decision Trees, Text Categorisation, Fraud Detection, OCR, Machine Vision, Natural Language Processing, Market Segmentation / Regularisation, Kernel Smoothing, Model Assessment and Selection, Boosting / Neural Nets as they relate to Computer Vision
• Unsupervised Learning, Vector Quantisation, Generative Topographic Map / Econometric Analysis of Time Series & Panel Data Models with > 3 Statistical Tests / Stochastic Modelling, Monte Carlo Methods / Optimization Algorithms, Portfolio Optimization / > 10 Statistical Tests including Combinations Of Parametric & Nonparametric, Comprehensive Tests for Assessing Recall, Precision, Accuracy / Numerical Methods For PDEs
• Evidence of working knowledge in Python (tensorflow, keras, sklearn) and SQL languages
• Knowledge of legislation and regulations relating to model risk management in the UK, USA, and EU: IFRS9/CECL/ALLL, ICAAP/ILAAP, SR 11-7, TRIM, BASEL, SS 318, SS 518, BSA/AML, OFAC, Basel 239
• Ability to work under pressure
   

Nice to have

• Evidence of working knowledge of C/C++ / Docker languages
   

By applying for the above position, you will confirm that you have reviewed and agreed to our Data Privacy Notice for Candidates: https://www.revolut.com/legal/data-privacy-for-candidates