Wholesale Credit Risk Model Validation Quant (VP)

  • Up to £110K + Bonus + Benefits
  • London, England, United Kingdom
  • Permanent, Full time
  • Millar Associates
  • 25 Sep 17

This global Banking Group seeks a Model Validation VP to lead the independent model review of Wholesale Credit Risk models across all obligor classes including sovereign, banks, corporates and NBFIs. Reporting to the Head of Model Review, you will lead model review projects, presenting models to risk committees and contribute to the group’s model oversight, risk governance. With extensive wholesale credit model validation or development experience, you'll conduct independent assessment of wholesale credit models including reg models, stress testing models, IFRS9 models EMEA. Of course, excellent knowledge of PD, EAD & LGD, AIRB and IFRS9 models with SAS is required.

Areas: Basel II, AIRB, IFRS9 Models, Reg requirements, Project Management

RESPONSIBILITIES:

  • Independent Review of Wholesale banking models across EMEA
  • Independent Review policy and framework
  • Independent oversight of all Wholesale & Retail Credit Risk models across EMEA
  • Deputising on for head on Model Oversight & Risk Committees, Stakeholder liaison.

ESSENTIAL SKILLS:

  • 5-10 years' Wholesale Basle II Credit Risk Models
  • Regulatory requirements such as CRR CRD IV, PRA SS 11/13 for IRB models
  • Understanding of stress testing requirements – PRA and EBA
  • Developing, validating regulatory capital models (PD, EAD, LGD), stress testing models and IFRS9 models for wholesale portfolios
  • SAS, Access, VBA
  • SQL or Matlab desirable
  • Good numerate degree or Masters
  • Strong stakeholder management & communication skills

REWARDS:

  • Excellent training and development opportunities
  • Performance-related bonus scheme
  • Contributory pension scheme
  • Generous holiday entitlement
  • Private healthcare
  • Life assurance & life insurance
  • Preferential rates on a range of banking products, including mortgages, etc.