The opportunity
🚀 We’re on a mission to make money work for everyone.
What you'll do
Leading hands-on independent validation across Monzo’s credit model portfolio: - covering models used for IFRS 9 impairment, capital and stress testing, forecasting, credit decisioning and unit economics - and making sure they are fit for purpose, appropriately governed and performing as expected
Reviewing and challenging key model-led credit risk assessments, including: impairment adequacy, ICAAP and stress testing, using independent analysis to assess assumptions, limitations and impacts
Developing a deep understanding of Monzo’s credit models and how they are: used, and using this to provide impactful input and challenge to model developers and users
Contributing to making model validation more consistent, scalable and: technology-enabled - building reusable analytical tools and tests, experimenting with AI-assisted approaches and helping the team embed them safely
Reviewing ongoing model performance monitoring to ensure our lending models: perform within our risk thresholds, and providing support to our first line of defence teams when action is required
Performing statistical analyses, model replication and challenger work where: appropriate to test assumptions, assess performance and strengthen validation conclusions
What they're looking for
- Improving and helping to embed our Model Risk Framework, including our: policies, standards, model inventory, governance and validation approach. This means making sure we follow up-to-date regulatory expectations and that our processes remain proportionate and relevant as modelling techniques evolve
- Writing clear and impactful model validation reports, and presenting the: findings and actions in relevant committees
- Partnering with colleagues in first line of defence credit strategy,: modelling and finance teams - and with wider risk teams across Monzo - to support effective model governance and consistent validation standards across the organisation
- Have a strong background and practical experience in credit model development: and/or validation across a range of model types. You’ll have meaningful experience with IFRS 9 impairment, Internal Ratings Based (IRB) or other capital models, alongside broader exposure to several areas such as stress testing, economic response, forecasting, decision science scorecards or NPV / unit economics modelling
