Quantitative Model Audit - Risk, Capital & Derivatives Pricing - Investment Bank

  • to £150K + Bonus
  • London, England, United Kingdom London England GB
  • Permanent, Full time
  • ITS-City Ltd
  • 20 Mar 18 2018-03-20

Investment bank client is looking to hire an AVP, a Senior VP and 1 Director Model Risk Audit Quantitative Analyst to join Internal Audit (IA) function of Investment Bank.

The team is responsible for the Model Audit & Analysis of model risk (Insurance / Actuarial, Retail Credit Risk PD LGD EAD, Capital, Market Risk VaR, IPV Valuation Models and Derivatives Pricing, cross-asset) as well as providing input into shaping the strategic modelling choices for the Bank and assurance that models are fit for purpose. The team provides independent oversight and governance for senior managers of model analytics and their implementation into the risk architecture that drives valuation, risk and stress testing results.

This is a great opportunity to join a growing team as the Quant Analyst subject matter expert and to shape the role going forward.

Key responsibilities:

Scrutinise + Challenge models and assess control weaknesses

Reviewing and analysing model usage to assess model risk.

Summarising relevant information to be reported up to Board level.

Discussion with key model stakeholders including Front Office Trading, Front Office Quants, Market Risk Managers, Finance Controllers and IT the outcome of review and analysis.

Your background:

A post-graduate qualification in a numerate subject (finance or other business related subject preferred) or equivalent.

Relevant experience within Model Risk / Model Audit SR11-7 (from a Bank, PRA, Regulator, Top 4 consultancy) space, or experience of model validation, ideally in cross-asset derivative pricing, Credit Risk, CCR and/or Market Risk VaR models and Stress Testing.

At SVP level you will have delivered Model Audits and lead/managed teams. At Director level you will need to have team leading / managing experience.

Strong interpersonal skills.

Contact I.T.S City

To talk directly with us to discuss this vacancy and the client, please contact Gary Williams on:

Email: gary@its-city.com

Direct Line: +44 (0) 203 176 6646