Counterparty Credit Risk Modelling Counterparty Credit Risk Modelling …

Lloyds Banking Group
in London, England, United Kingdom
Permanent, Full time
Last application, 20 Aug 19
Competitive
Lloyds Banking Group
in London, England, United Kingdom
Permanent, Full time
Last application, 20 Aug 19
Competitive
Counterparty Credit Risk Modelling
End Date
Monday 02 September 2019

Salary Range
£81,150 - £108,200

We support agile working - click here for more information on agile working options.

Agile Working Options
Other Agile Working Arrangements / Open to Discussion

Job Description Summary
Core Purpose of the Role:
The Market Risk teams provide risk management of all market risk types including Interest Rate, FX, Credit Spread and Inflation risks. Our culture is fully aligned with the Groups values, where we offer an inclusive and supportive environment as we strive to enable all our colleagues to improve their potential. We have a reputation for successfully promoting and growing talent.
The Counterparty Credit Risk Modelling team have an exciting opportunity for a suitably qualified individual to take ownership of ongoing usage, governance and validation of initial margin calculation models, in particular the SIMM and MVA models. The successful applicant would be required to Monitor model performance as well as providing governance and validation of models. You will also be required to liaise with other stakeholders in the overall model governance process (including model developers, the business, regulators and ISDA).

Job Description

Core Purpose of the Role:

The Market Risk teams provide risk management of all market risk types including Interest Rate, FX, Credit Spread and Inflation risks. Our culture is fully aligned with the Groups values, where we offer an inclusive and supportive environment as we strive to enable all our colleagues to improve their potential. We have a reputation for successfully promoting and growing talent.

The Counterparty Credit Risk Modelling team have an exciting opportunity for a suitably qualified individual to take ownership of ongoing usage, governance and validation of initial margin calculation models, in particular the SIMM and MVA models. The successful applicant would be required to Monitor model performance as well as providing governance and validation of models. You will also be required to liaise with other stakeholders in the overall model governance process (including model developers, the business, regulators and ISDA).

Accountabilities
  • Ongoing management of model validation and model risk of models for initial margin calculations (SIMM and MVA).
  • Liaise and working collaboratively with other stakeholders in overall model governance process and audit.
  • Represent Lloyds in industry forums like ISDA Forum.

Key capabilities and knowledge
  • Highly numerate and quantitative skill set (including practical model implementation and analysis skills and excellent communication skills)
  • Candidates will typically require a PhD in a highly numerate discipline (although other suitably qualified candidates will also be considered).
  • It is anticipated that the ideal candidate will have in excess of 10 year's experience as a quantitative analyst in large investment banks.
  • Front office and/or model validation experience is particularly relevant.
  • Excellent communication and technical writing skills are necessary in order to document model validations and analysis and communicate findings to senior management.
  • The ideal candidate will have experience of initial margin modelling and regulations and SIMM and MVA modelling in particular. General experience of PFE/XVA modelling is also desirable.
  • The candidate will also be required to demonstrate practical experience of effectively managing models and model risk within a fast-paced banking environment as well as being able to work productively with other stakeholders in the model governance process


Lloyds Banking Group is committed to building a workforce which reflects the diversity of the customers and communities we serve, and to creating an inclusive workplace where all our colleagues can be themselves and succeed on merit.

At Lloyds Banking Group, we're driven by a clear purpose; to help Britain prosper. Across the Group, our colleagues are focused on making a difference to customers, businesses and communities. With us you'll have a key role to play in shaping the financial services of the future, whilst the scale and reach of our Group means you'll have many opportunities to learn, grow and develop.

We're focused on creating a values-led culture and are committed to building a workforce which reflects the diversity of the customers and communities we serve. Together we're building a truly inclusive workplace where all of our colleagues have the opportunity to make a real difference.
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