Counterparty Risk - Senior Model Validator Counterparty Risk - Senior Model Validator …

Hays Financial Markets
in London, United Kingdom
Permanent, Full time
Last application, 17 Sep 21
GBP100000.00 - GBP115000.00 per annum
Hays Financial Markets
in London, United Kingdom
Permanent, Full time
Last application, 17 Sep 21
GBP100000.00 - GBP115000.00 per annum
Hays Financial Markets
A Counterparty Risk - Senior Model Validator position at a commercial bank in London, paying up to £110.000pa.

A Counterparty Risk - Senior Model Validator position at a commercial bank in London, paying up to £110.000pa.


Your new company
One of the largest banks in the world in terms of total assets under management are looking to expand their model validation sector. A leading financial markets and commodities focused bank, specialising in global markets traded products, with an emphasis on frontier and emerging market jurisdictions spanning Asia, Africa, Central and Eastern Europe, the Middle East and Latin America.

Your new role
This exciting new position within the bank will require you to validate counterparty credit exposure and XVA models. This also includes the review of risk factor simulation models, back testing and model calibration. Within this position, you will independently implement benchmark models which will cover product specific implementations and features such as CSAs and netting. In addition to this, validating the models from a mathematical and implementation perspective as well as reviewing the applicability (i.e. the strengths, weaknesses, model assumptions and limitations) of the models will be key aspects of the role. This opportunity will also feature model validation aspects such as participating in the relevant technical committees and present model validation documents as well as conducting model risk management processes including model risk monitoring and ongoing and periodic validation. In addition to this, you will need to establish a strong working relationship with key stakeholders in front office, finance and risk functions.

What you'll need to succeed
Within this new, unique position in the bank you'll need excellent academic credentials with a Masters or PhD degree in a quantitative field as well as an advanced knowledge of quantitative methods such as financial mathematics, stochastic processes and Monte-Carlo simulation. You will need an extensive knowledge of and experience in validating counterparty risk models (PFE and XVA models). A good knowledge of regulatory standards and capital requirements under Basel III and SACCR as well as an understanding of CCR and XVA risk measurement and management are essential. Coding skills (preferably C++) and working knowledge of Excel are required in addition to experience with Adaptiv Analytics for PFE modelling, Murex as a booking and risk management tool would be beneficial.

What you need to do now
If you're interested in this role, click 'apply now' to forward an up-to-date copy of your CV, or call us now.
If this job isn't quite right for you but you are looking for a new position, please contact us for a confidential discussion on your career.

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