Credit Modelling - London, UK (with remote working allowed throughout the UK)
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.
- 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