- Nov 14, 2022
Global investment bank seeks a VP level Quant as part of its expanding Scenario and Climate Risk Validation team responsible for IRRBB (also called Non Traded Market Risk) models validations
As Scenario and Climate Risk Validation you will be the responsible for IRRBB (also called Non Traded Market Risk) models validations. Model are used for day-to-day running the bank as well as part of different model frameworks (e.g. ICAAP, Internal Stress Testing/EBA/BOE Stress Testing, Value and Earnings metrics for IRRBB). You will work with the team to propose approval decisions, identify key issues and viable remediation actions and communicate results at different forums with exposure to senior stakeholders. What will you be doing?
* Having responsibility for the development and progression of the team in terms of the level of expert and business knowledge and efficiency
* Leading validations of models- data quality, assumptions and limitations, model design implementation, performance results and benchmarking
* Building challenger models (if needed) to support the validation review and challenge process for all new and existing models
* Reporting will contain some more qualitative and conceptual challenges to models
* Creating and maintaining the correct information in the Group model database for the set of validated models What we're looking for:
* Working knowledge of Financial Mathematics & Statistics; a degree in quantitative subject (Math, Engineering, Statistics, Economics with quantitative minor or master's degree)
* Solid capability in either model validation or development in at least one of these fields - Macroeconomic Analysis for Scenario expansions or Climate Risk Models
* Experience in model specification, model selection, model testing and/or validation roles
* Experience of coding using Matlab/R/SQL/C++/Python or any equivalent language/software Skills that will help you in the role:
* Experience with IFRS9 or Operational Risk models
* Mentally curious and team player
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.