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Credit Risk Model Validation

London, Greater London, United Kingdom, £ £ 85000.00-105000.00 Annual Annual, Permanent

Description:

A reputable international banking organization based in London is currently looking to hire a Credit Risk Model Validation candidate to join their Bank's Risk division as part of the team responsible for validating quantitative models as part of the independent model validation process (2LoD

The core purpose of the role is perform model validation and model review for a wide range of pricing and risk models, ensuring adherence with the groups control structure. Core model focus will include PD, LGD and Counterparty Credit Risk Models.

Key duties in the Credit Risk Model Validation role will include:

  • Validation of the models from a mathematical and implementation perspective, reviewing their applicability (i.e. the strengths, weaknesses, model assumptions and limitations) of the models.

  • Document model validation testing and findings.

  • Participate in the relevant technical committees and present model validation documents.

  • Conduct model risk management processes.

  • Establish a strong working relationship with the front office and the risk function.

A successful application in the Credit Risk Model Validation role will include:

  • Strong academic record in a quantitative field is highly preferred - Masters or PhD level.

  • Proven experience in the validation of Credit Risk Models - either POD,LGD focused or within Counterparty Credit Risk.

  • Extensive knowledge of and experience in developing or validating credit risk models (PD, LGD, PFE and CVA models).

  • Advanced knowledge of quantitative methods such as statistics, stochastic processes, Monte-Carlo simulation and econometrics.

  • Ability to translate technical information to key business stakeholders, in a clear and concise manner.

  • Strong coding skills preferred - Matlab, R, Python, SAS, C++

Should you meet the requirements, and feel you have the technical skills required - please click to apply!

Job Details

1218918708
Not Specified
London, Greater London, United Kingdom
Permanent
£ £ 85000.00-105000.00 Annual Annual