Wholesale Credit Risk Model Validation AVP Wholesale Credit Risk Model Validation AVP …

Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Last application, 22 Aug 19
Morgan McKinley
in London, England, United Kingdom
Permanent, Full time
Last application, 22 Aug 19
Global investment bank seeks AVP level Credit Risk Model Validation Quants to cover a wide range of risk and capital stress testing models.

Overall purpose of role
The person filling the role is responsible for being model validator for a wide range of IRB and IFRS9 models as well as support other model validation efforts in MTP, IST, ICAAP and BoE stress testing frameworks. These models/frameworks are crucially important for daily business management of the Group and its legal entities as well as to meet important regulatory requirements with respect to independent validation of these frameworks.

Key Accountabilities
  • Perform technical analyses, data analyses, benchmarking, build challenger models (if needed) to support the validation review and challenge process
  • Role holder must be able to challenge others and be open to challenge
  • Role holder should seek direction on which issues are material but have own views on this also.
  • Produce high quality model validation reports, with a particular focus on noting limitations, weaknesses and assumptions
Technical development
  • Self-study of developments in modelling and validation techniques;
  • Contribution to internal and external technical presentations to enhance the team development.

Stakeholder Management and Leadership
  • Support team lead in key interface with owners of models
  • Contribute to ensuring that the team provides high quality input and guidance to modellers across the bank to achieve consistency of standards and compliance with internal and external requirements;
  • Ensure open, transparent, proactive and timely interaction with major stakeholders (subject matter experts, model owners/developers) in alignment with the banks Values and Behaviour principles
  • Ensure that the Group Model Risk Policy, and supporting Standards are upheld
  • Role requires influencing skills and problem solving abilities to overcome issues inherently arising during the validation process

Essential Skills:
  • Highly numerate, as demonstrated by Honours degree, Masters or PhD (or similar) in a quantitative subject such as Mathematics, Physics, Operational Research, Economics, or Finance
  • Significant experience of coding in R/SQL/C++/Python or equivalent language, including handling large datasets and writing functions.
  • Good communication and influencing skills, ability to produce high quality written communication for technical and non-technical audiences.
  • Highly organised in terms of documentation and follow through.

Desirable skills/Preferred Qualifications:
  • Ph.D. in quantitative fields, such as Mathematics, Physics, Operational Research, Finance, and Economics
  • Relevant experience in either model development or in model validation
  • Ability to work in a high performing team, and the ability to work and liaise with others in a diverse team
  • Beyond risk management, knowledge in financial projection, capital management and treasury

Morgan McKinley is acting as an Employment Agency in relation to this vacancy.

Please note that any references to salary or pay rates in this advertisement and in the salary refinement section are indicative only and should only be used as a guide.