Principal Data Scientist - Model Risk

Job Description:

What you will do
* Lead Klarna's Model Risk and Model Validation function, sitting within the second line of defense as part of Risk Control.
* Establish and maintain robust frameworks, policies, and procedures for model risk governance, in line with regulatory requirements and industry best practices.
* Manage the independent validation of a wide range of models, including but not limited to:
* Credit scoring models
* Fraud detection models
* IFRS9 Expected Credit Loss (ECL) provisioning models
* Review and challenge model development methodologies, assumptions, and implementation processes to ensure their appropriateness, robustness, and transparency.
* Conduct detailed assessments of model performance, accuracy, and limitations, providing actionable recommendations for improvements.
* Collaborate closely with first-line teams, such as data scientists, model developers, and business units, to ensure alignment and effective communication of model-related risks.
* Stay updated on evolving regulatory expectations (e.g., IFRS9, Basel III/IV) and emerging trends in machine learning and AI model validation.
* Build and mentor a high-performing team of model validation professionals, fostering a culture of excellence, collaboration, and continuous learning.
* Present findings, insights, and reports to senior management, audit committees, and regulators.

Who you are
* Proven leadership skills, with experience building and managing high-performing teams.
* Experience interacting with regulators and senior management.
* Advanced degree (Master's or PhD) in a quantitative discipline such as Data Science, Statistics, Mathematics, Computer Science, or a related field.
* Extensive experience (7+ years) in model development, validation, or risk management within the financial services sector.
* Strong technical expertise in statistical and machine learning models, with a deep understanding of credit scoring, fraud detection, and IFRS9 ECL models.
* Hands-on experience with programming languages and tools commonly used in data science, such as Python and SQL.
* In-depth knowledge of regulatory requirements and expectations for model governance and validation.
* Exceptional analytical, problem-solving, and decision-making abilities.
* Excellent communication and stakeholder management skills, with the ability to convey complex technical information to non-technical audiences.
* A passion for innovation and staying at the forefront of data science and risk management advancements.

Please include a CV in English.
Curious to learn more about Klarna and what it's like to work here? Explore our career site