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Director, Head of Model Risk Management

London, United Kingdom, £ £ 125000.00-150000.00 Annual Annual, Permanent

Description

The employer is one of the world\'s leading financial groups.

  • Responsible for developing and maintaining a robust model governance framework to meet evolving best practice.
  • Management of the model risk management team, including scoping and project managing risk model validations.
  • Maintaining model risk policies, procedures and implementing practices that provide effective oversight of model risks.
  • Responsible for carrying out and overseeing the team\'s independent validation of risk models, both initial and periodic across all risk types and asset classes. Validation includes theoretical review of model concept and statistical analysis, identifying model assumptions/limitations, implementation testing model components through independent rebuild (R, Matlab, etc.)
  • Production and issuance of validation reports
  • Tracking of actions and conditions raised through the validation process
  • Ongoing monitoring of risk model performance and escalation
  • Developing constructive relationships with risk management and other departments within the Firm
  • Essential:
  • Quantitative/ validation experience.
  • Model development or model validation of market risk and counterparty credit risk models
  • Model development or model validation of corporate credit risk models, i.e. IRB (Beneficial)
  • Model development or model validation of derivatives valuation models (Beneficial)
  • Stress testing or internal capital models (Beneficial)
  • Using one or more of: R, Matlab, python, VBA
  • SKILLS AND EXPERIENCE
  • Functional / Technical Competencies:
  • Deep understanding of financial products.
  • Probability theory and random variables algebra
  • Statistical inference and hypothesis testing, other model validation techniques
  • Estimation theory and methods
  • Stochastic processes and stochastic calculus
  • Modelling and pricing of financial derivatives (Beneficial)
  • Analysing and modelling multivariate financial time series data (Beneficial)
  • Computer simulations and numerical approximation methods (Beneficial)
  • Ability to critically assess strengths and weaknesses of models.
  • Strong technical experience of Risk modelling and validation requirements.
  • Understanding of PRA requirements.
  • Education / Qualifications:
  • Preferred:
  • Postgraduate level education in quantitative subject.
  • PERSONAL REQUIREMENTS
  • Excellent communication skills
  • Results driven, with a strong sense of accountability
  • A proactive, motivated approach.
  • The ability to operate with urgency and prioritise work accordingly
  • Strong decision making skills, the ability to demonstrate sound judgement
  • A structured and logical approach to work
  • Strong problem solving skills
  • A creative and innovative approach to work
  • Excellent interpersonal skills
  • The ability to manage large workloads and tight deadlines
  • Excellent attention to detail and accuracy
  • A calm approach, with the ability to perform well in a pressurised environment
  • Strong numerical skills
  • Excellent Microsoft Office skills
  • A confident approach, with the ability to provide clear direction to your team
  • Excellent managerial/leadership experience
  • The ability to lead a high performing team
  • A strategic approach, with the ability to lead and motivate your team
  • The ability to articulate and implement the vision/strategy for the Model Risk Management Team

Job Details

745712287
Not Specified
London, United Kingdom
Permanent
£ £ 125000.00-150000.00 Annual Annual