Retail Credit Risk Model Validation Team Manager

Role Overview

• Overseeing timely and high-quality validations of Retail IRB and internal Credit Risk models, ensuring alignment with regulatory expectations and internal governance
• Providing independent and effective challenge to model development, assessing conceptual soundness, performance, and limitations of credit risk models
• Reviewing validation reports to ensure clarity, rigor, and actionable recommendations, while promoting best practices and continuous improvement in methodologies
• Leading and mentoring a team of validators by assigning roles based on expertise and capacity, and supporting flexible collaboration across projects
• Ensuring compliance with internal policies, regulatory requirements, and audit standards
• Supporting regulatory reviews and audits by ensuring transparent documentation and effective communication of validation outcomes
• Supporting effective communication and alignment with model owners, business units, risk management, and risk oversight teams throughout the validation lifecycle
• Fostering development within the team through knowledge sharing, training, and staying current with industry trends and regulatory developments

Requirements

• At least 5 years of experience in the financial sector, including a minimum of 2 years of hands-on work with Credit Risk IRB models, preferably in model validation or development roles
• Experience in independently validating models, including assessing conceptual soundness, performance testing, back testing, and reviewing model documentation
• Skilled in managing validation projects, prioritizing tasks, and adapting to evolving regulatory and business needs
• Leadership skills with the ability to mentor and develop a team of quantitative professionals, effectively manage workloads, and cultivate a collaborative, high-performing team environment
• A strategic and analytical mindset, with the ability to translate complex methodologies into clear, actionable insights
• A strong academic background in statistics, mathematics, data science, economics, econometrics, or a related quantitative field
• Understanding of regulatory requirements related to credit risk modelling and validation (e.g. CRR, EBA guidelines, EGIM)
• Familiarity with model risk governance, internal controls, audit processes, and regulatory reviews
• Hands-on experience with statistical and programming tools such as R, Python, SAS, or SQL, along with strong data handling and analytical skills
• Strong verbal and written communication skills in English, with the ability to engage effectively with stakeholders across various functions and levels of seniority
• A collaborative and proactive approach, with a strong commitment to quality, innovation, and continuous improvement
• Based in Vilnius, with the ability to work on-site at least 60% of the time to support collaboration and team engagement.

Tech Stack

• Python
• SQL

Benefits

• Entrepreneurial Scandinavian environment: international working environment, empowering culture, friendly and welcoming team.
• Growth culture: leadership development programs, opportunity to grow professionally by contributing to large-scale, high-impact initiatives, local and international internal mobility possibilities, put an impact on social or environmental issues.
• Modern environment: innovative company in forefront of technology, challenging, cutting-edge work, excellent office environment, agile and modern ways of working.
• Additional monetary benefits: paid seniority vacation and volunteering days, allocations to Your pension fund, profit sharing programme, and additional health insurance.