Senior Audit Manager, Risk Modelling
- c.£90-110k Base + Excellent Benefits
- London, England, United Kingdom
- Permanent, Full time
- Fraser Carver Executive Search
- 27 Nov 17 2017-11-27
Fraser Carver Executive Search are working with a reputable Retail Bank in the City who are looking to appoint an Auditor aligned to their Modelling and Capital Methodologies team. We are looking for people with strong Model Development/Model Validation skills across Credit or Market Risk interested in a move to Audit, or people with Internal Audit/Assurance experience focused on Models gained either in-house or with a management consultancy.
You will use your expertise to help lead, plan and execute risk based audits, and to manage stakeholder relationships, so that the department audits the modelling and capital methodologies that matters most to the Group.
You’ll be strongly technically oriented and comfortable in dealing with quantitative projects and business problems, so strong academic qualifications in a quantitative discipline are essential. You’ll demonstrate experience of applying quantitative expertise in a financial or consulting environment, in addition to possessing a sound grasp of the principals of statistical, mathematical and financial modelling.
In addition, we are looking for specific experience and technical aptitude in a number of areas – we don’t expect you’ll be an expert in all, but you’ll have a deep knowledge of some of the following.
o The generic elements of a model life cycle, and their associated risks
o Effective model risk management and governance
o Statistical theory, analysis and inference, and statistical and qualitative techniques for validating models
o Credit risk modelling and internal rating system development (regression based models, retail credit risk scorecards, CRR requirements thereof; credit provision modelling techniques; structural based models, reduced form models)
o Capital management frameworks and regulatory capital treatments
o Stress testing and scenario analysis, including qualitative and quantitative techniques for firm wide stress testing, and econometric modelling and forecasting;
o Actuarial and Insurance capital modelling, including reserving, catastrophe, longevity, liability and other insurance risk modelling, and solvency 2 requirements;
o Other banking capital modelling techniques, including for concentration risk, interest Rate Risk in the Banking Book; modelling of market risk in pension schemes; operational risks; concentration risk.
o Financial mathematics, derivative products (IR, FX, credit, hybrid, inflation), and modelling and calibration techniques for their pricing and risk management;
o Key trading front office and risk applications, including analysis and modelling of market and credit risk, VaR, PFE, CVA, generic risk measures such as Greeks, and stress testing;
o Cash flow modelling and financial economics;
o Asset liability management;
o Portfolio management and economic capital techniques; Profitability and customer segmentation analysis;
o Liquidity risk pricing and modelling
As well as these technical requirements, you’ll have good influencing and motivating skills in a complex and diverse stakeholder environment and have a proven track record of delivery. Excellent analytical, presentational, verbal and non-verbal communication skills are essential.