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Corporate - Risk - Quantitative Analyst – Model Validation – VaR – Associate/VP - London

Job Description

The Team:

The Model Risk Group (MRG) is responsible for conducting model validation to help identify, measure, and mitigate Model Risk. The objective is to ensure that models are used appropriately in the business context and that model users are aware of the models’ strengths and limitations and how these can impact their decisions.

 

The Role:

Financial Institutions routinely use models for a broad range of activities including credit underwriting, valuing financial instruments, measuring and managing risk, assessing the adequacy of reserves and capital resources, and many other applications. Model Risk arises from the potential adverse consequences of making decisions based on incorrect or misused model outputs and reports, leading to financial loss, poor business decision making, or reputational damage.

 

Pricing and risk measurement models for financial derivatives products traded by the Investment Bank (IB) client businesses are one of the areas of focus for MRG. Sound usage of these models requires a deep understanding of the theoretical underpinnings, expertise of the underlying markets used to manage risk, and an understanding of model performance in different regimes.

 

This team carries out model validation activities and works closely with Risk, Finance and FO professionals to review model validation findings, on-going model risk measurement and risk mitigating strategies

 

Responsibilities:

 

• Carry out model validation activities, including model reviews and model risk measurement projects, for market risk capital models (such as Value-at-Risk, Specific Risk, Stress VBM, Comprehensive Risk Measure, Incremental Risk Capital) across a variety of asset classes:

  1.    Model reviews: evaluate the conceptual soundness of pricing engines and its suitability for capturing risk; the reasonableness of assumptions and reliability of inputs; the consistency of approaches used across products and asset classes; the completeness of the testing performed to support the methodology choices and the correctness of the implementation; the suitability and comprehensiveness of performance metrics and risk measures associated with the use of the model.
  2.    Risk measurement projects: identify alternative ways of measuring and aggregating risk, design and implement experiments to assess their effectiveness; compare the model results with empirical evidence and/or outputs from alternative methodologies;

• Liaise with FO, Quants, Market Risk and Valuation Control Groups to understand usage of models in the business and syndicate the findings of model validation

Qualifications:

Essential skills and experience:

 

·         Relevant experience in quantitative research, model development or model validation of capital or derivative pricing models in a financial institution.

·         PhD or MS degree in a quantitative areas (Math Finance, Statistics, Applied Math, Physics, Computer Science, Engineering or similar).

·         Good command of statistics and some experience with econometric analysis of time series.

·         Excellent analytical and problem solving abilities.

·         Deep understanding of financial mathematics and risk-neutral pricing.

·         Inquisitive nature, ability to ask right questions and escalate issues. Risk & Control mindset.

·         Excellent communication skills (written and verbal).

.         Team work oriented.

All internal moves will normally take place on the same grade and same salary. Salaries are reviewed annually in February. Exceptions to the rule regarding transfer on current salary may include a move between geographic locations.

Req #: 160034359
Location: London, ENG GB
Job Category: Accounting/Finance/Audit/Risk
Employment Type: Full Time
Potential Referral Amount: Pound Sterling (GBP)

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