Senior Model Validation - Corporate and Retail Models Senior Model Validation - Corporate and Retail  …

Vennbridge
in London, United Kingdom
Permanent, Full time
Last application, 14 Oct 21
Senior Credit Modelling Compensation
Vennbridge
in London, United Kingdom
Permanent, Full time
Last application, 14 Oct 21
Senior Credit Modelling Compensation
Posted by:
Louis Altman • https://www.linkedin.com/in/louisaltman/
Posted by:
Louis Altman
https://www.linkedin.com/in/louisaltman/
Credit Modelling - London, UK (with remote working allowed throughout the UK)

Role

Model Risk Management across the entire banking group.

Responsibilities - Model Validation

  • Support the implementation of the firm's target state operating model for a Second Line of Defence Model Validation function.
  • Ensure that models are fit for purpose.
  • Offer constructive, independent technical checks and challenge at committee level if appropriate.
  • Review new, and existing, models, including but not limited to capital, IFRS9 and pricing models.
  • Understand model purpose, the underlying mathematical model, its implementation, and its deficiencies.
  • Understand the model behaviour under stress such as applied in capital calculations.
  • Undertake rigorous testing of new and existing models to assess comprehensiveness of risk representation, suitability for intended use, robustness and stability of calibrations, ongoing performance vis-à-vis risk factor and portfolio back testing, and reasonableness of simulations vis-à-vis other distributional tests.
  • Apply quantitative and qualitative techniques to model validation, this can include independent implementation of the model.
  • Propose solutions to model deficiencies.
  • Structure the current state of validation, assurance, and approval status of models.
  • Aid new modelling by providing coding reviews and proposing model improvements.
  • Carry out model risk management tasks with a view to the auditability of model assurance.
  • Research statistical techniques to estimate model parameters, including volatilities of risk factors and their correlations, and to validate use of appropriate proxies and fall-back parameters
  • Benchmark particular model components such as parameter estimation methods or pricing models to justify against alternative approaches
  • Document models, methodologies, analyses, and findings.
  • Review and provide guidance on existing and to-be developed model documentation.
  • Keep up to date on regulatory changes, quantitative techniques, and industry practices.

Experience required

  • Hands-on experience in technical model development and implementation, model validation, and/or model oversight in one or more of the following areas: credit risk (retail and/or wholesale), PD/LGD/EAD estimations, IFRS9, operational risk, asset & liability management, Economic Capital, stress testing, sensitivities, time series modelling.
  • Previous experience of interpreting technical documentation and producing written reports which convey technical information in an accessible manner, targeted to specific audiences.
  • Ability to conduct statistical analysis in a coding environment (e.g., SAS, Excel, R, Matlab, Python, Github)
  • Strong analytical skills with great attention to details, strong control mind-set with interest in investigating issues and develop solutions.
  • Good written and verbal communication & presentation skills
  • Sound knowledge of regulatory compliance requirements.
  • Ability to interface with all levels in the business including senior management.
  • Good interpersonal skills and a team player, proactive and self-motivated.
  • Basic knowledge of data software provider.

Vennbridge is an recruitment firm in relation to this posting.  For further information, please see www.vennbridge.com

 

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