Risk Model Senior Validator - VP

Employer
Morgan McKinley
Location
London, United Kingdom
Salary
Competitive
Posted
Aug 03, 2021
Closes
Aug 17, 2021
Ref
11657163
Job Function
Risk Management
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Job Summary
  • London
  • Permanent
  • BBBH789134
  • Jul 30, 2021
  • Competitive

Job Description
Global investment bank seeks a Vp level Senior Risk Model Validator .or validating Market Risk, Counterparty Credit Risk and Risk Capital models.

We are looking for a model risk manager and senior validator for
validating Market Risk, Counterparty Credit Risk and Risk Capital
models. The Model Risk Manager will be responsible for assessing the
adequacy of risk capital and estimated losses for regulatory or
business requirements.

Our rigorous validations including the technical assessment of
adequacy of the modeling data and assumptions, conceptual soundness
and mathematical formulation, and model performance, as well as the
assessment of using the model for regulatory and business
applications. Responsibilities of this position include performing
validation tests, discussing findings with internal and external
stakeholders, writing validation reports, and managing model risk.

Key Responsibilities

Manage model risk across the model lifecycle including model
validation, ongoing performance evaluation and annual model reviews.

Provide guidance to junior validators as and when necessary.

Manage stakeholder interaction with model developers and business
owners during the model lifecycle.

Represent the bank in interactions with regulatory agencies, as required.

Present model validation findings to senior management and supervisory
authorities.

Provide effective challenge to model assumptions, mathematical
formulation, and implementation

Assess and quantify model risk due to model limitations to inform
stakeholders of their risk profile and development of compensating
controls.

Contribute to strategic, cross-functional initiatives within the model
risk organisation.

Experience and Skills

Experience in a quantitative role in risk management at a financial
institution with experience in either model development or validation,
ideally experience in modelling of Counterparty Credit Risk and Market
Risk.

Good knowledge and understanding of a variety of model development and
validation testing techniques covering risk models.

Good knowledge of financial products, financial mathematics, pricing
methodologies, numerical techniques, risk management, Basel/CCAR
regulatory requirements.

Sound knowledge of Calculus, Numerical Analysis, Statistics, and Linear Algebra.

Strong communication skills in both verbal and written are required as
the work involves frequent interaction with model developers, risk
managers, other stakeholders as well as internal/external audit and
regulators.

Solid writing skills. Publications in peer-reviewed journals are
considered as good evidence.

Programming skills: C/C++, Python, Matlab, SAS, R, Java, Oracle and SQL.

Qualifications

Minimum of Master's degree in a quantitative field (physics,
mathematics, statistics, finance, computer science, etc.) with
extensive years of relevant experience.

Fewer years of relevant experience will be considered for candidates
with higher academic qualifications and/or certifications such as a
PhD, a second Master's degree, or CFA.

Morgan McKinley is acting as an Employment Agency and references to pay rates are indicative.

BY APPLYING FOR THIS ROLE YOU ARE AGREEING TO OUR TERMS OF SERVICE WHICH TOGETHER WITH OUR PRIVACY STATEMENT GOVERN YOUR USE OF MORGAN MCKINLEY SERVICES.

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